I’m a big fan of not raising exceptions if possible – rather than throwing and catching ‘expected exceptions’. To me, that phrase is an oxymoron – exceptions should be, um, exceptional, and it can make the wood hard to see for the trees when looking for proper exceptions.
Anyway, that aside – you can make Visual Studio break on any exception, not just the unhandled ones. Use Ctrl-Alt-E to edit – there is supposed to be some way to get to it though the menu, but I’ve not found it. Discovered in a blog post here.
Andy Burns' Blog 
In Visual Studio 2005 on my machine I can go to Debug > Exceptions…
If that isn’t listed then it may be due to the settings profile you chose when first running Visual Studio. If it isn’t listed you can just add it to your Debug menu via Tools > Customize > Commands
Meh. This is my one complaint about Visual Studio – portability of profiles (which I understand why that’s had). I’m forever having to dig into the Tools menu to add the things I need.