I was reading Stack Overflow question How can I set Visual Studio to show a stack trace for first chance exceptions? regarding debugging first chance exceptions on Visual Studio 2010, and I am not able to find this option.
How can I enable Visual Studio 2010 to break exactly when a first chance exception happens?
You may want to check the Debug menu in Visual Studio 2010. In there you will find the Exception submenu, in where you can select which type of exception you want Visual Studio to stop.
See How to: Break When an Exception is Thrown for more info.