Visual Studio: How to break on handled exceptions?
There is an 'exceptions' window in VS2005 ... try Ctrl+Alt+E when debugging and click on the 'Thrown' checkbox for the exception you want to stop on.
With a solution open, go to the Debug - Windows - Exception Settings (Ctrl+Alt+E) menu option. From there you can choose to break on Thrown or User-unhandled exceptions.
EDIT: My instance is set up with the C# "profile" perhaps it isn't there for other profiles?
Took me a while to find the new place for expection settings, therefore a new answer.
Since Visual Studio 2015 you control which Exceptions to stop on in the Exception Settings Window (Debug->Windows->Exception Settings). The shortcut is still Ctrl-Alt-E.
The simplest way to handle custom exceptions is selecting "all exceptions not in this list".
Here is a screenshot from the english version:
Here is a screenshot from the german version: