First Chance Exception
A first chance exception occurs when an exception is thrown and there is no catch block to handle it.
Enablying first chance exceptions stops the debugger whenever an exception is thrown whether there is a catch block or not.
(Debug > Exceptions > check thrown next to "Common Language Runtime Exceptions"
When an application is being debugged the debugger is notified whenever an exception is encountered and decides how best to handle it.
At this point there are two scenarios
1) Exception is passed on to the application and handled accordingly
2) Enters debug mode and suspends the application
A first chance exception is the first exception to be passed to the debugger which doesn't get passed back to the application.