If you are using Visual Studio, you can change this behavior globally by breaking when the exception is thrown. The way you set this has changed over time, but is possible from at least VS 2003.
In VS 2008 you would want to select "Debug | Exceptions..." from the file menu. If you don't see it on the list you can use "CTRL + ALT + E" to pull it up. Now just click on the checkbox next to "Common Language Runtime Exceptions" in the "Thrown" column and click on OK to apply your change.
This change will be in effect regardless of the configuration you are using (Debug, Release, etc) until you change the value back.
Scott Travis
Enterprise Expressions, LLC