One of the questions I got in the booth at Tech Ed was about First Chance Exceptions. The attendee was getting these messages in the output window in Visual C++ warning about "first chance exception" and was concerned about it. A long-long-neglected neuron fired. I think I ran an article in a journal I edited 10 or so years ago in which Mike Blaszczak covered this. And I think the bottom line was "don't worry." So I ran a quick search and found this knowledge base article that indeed says "don't worry." The debugger gets the exception first, before your code. It just writes to the screen that it got it. Then your code handles the exception and life goes on as before. If your code doesn't handle the exception, then the debugger gets it again, and then perhaps something interesting happens. But first chance exceptions are nothing.
Having a long memory for tiny details is handy sometimes.