Visual studio used to have a specific checkbox to \"Break on Un-handled exception\". In 2015 this has been removed (or moved somewhere I cannot find it). So now my convert
For googler that wants to break only when the exception concerns their code, there is an option in Visual Studio 2015: Options->Debugging->General->Just My Code. Once checked, it allow to do not break when the exception is managed (thrown and catched) outside your code.