VS 2005 provide you with this feature. Usually, the debugger would stop at the end of the Exception handling.
With 2005 (Not be default) you can ask him to break at each exception. Meaning you do not have to set break point everywhere to trace back the exception’s origin.
To set this option, go in Debug, Exceptions… and check at the “thrown” column, the exceptions you want to be thrown has they arrive.