You can use the Exception Settings window to specify which exceptions (or sets of exceptions) will cause the debugger to break, and at which point you want it to break. You can add or delete exceptions or specify exceptions to break on. Open this window when a solution is open by clicking Debug / Windows / Exception Settings.
The debugger can break execution at the point where an exception is thrown, giving you a chance to examine the exception before a handler is invoked.
In the Exception Settings window, expand the node for a category of exceptions (for example, Common Language Runtime Exceptions, meaning .NET exceptions), and select the check box for a specific exception within that category (for example System.AccessViolationException). You can also select an entire category of exceptions.