I know I can control the way Visual Studio handles exceptions according to their type and to the fact that they\'re eventually caught using the \"Exception\" dialog.
How
I think it's not possible in visual studio but it certainly is in WinDbg. See for example http://blogs.msdn.com/b/alejacma/archive/2009/08/24/managed-debugging-with-windbg-breaking-on-an-exception-part-1.aspx
On a side note it seems that starting with visual studio 2010 you can load and use WinDbg extension DLLs directly providing aditional functionality (including possibly the one that you need) but I haven't tried this yet - see for example http://www.dotnetcurry.com/ShowArticle.aspx?ID=648