Usualy the debugger will halt execution somwhere past the point where the Exception was generated. put a breakpoint in the code a few lines in front of this, and move it up until you dont get the error, then use the 'step' button to find the exact line where the error is generated.
But as lespaul says this is often (but not always) down to trying to access objects that havnt been 'created'.
Steve: Delphi a feersum engin indeed.