When running CF apps in debug mode using VS2005, I could always see messages like:
A first chance exception of type "System.FileNotFoundException" occured in mscorlib.dll
Why are the core libraries throwing exceptions and how to avoid them? It turns out that first chance exceptions occur whenever exceptions are thrown (duh). If they are caught (with a try/catch clause) the application continues to run normally, but the debugger will print that line into the output. If the exception is uncaught, the debugger is notified again and the application breaks into debug mode. This is known as “second chance exception”. So far from what I see, it means you cannot avoid getting the first chance exceptions.
According to the links below, VS can be configured to react differently at the chance exceptions. Different actions may be taken for different exceptions or exception groups (exceptions hierarchy).