I'm actually very confused about why you want to do this? Are you trying to create a custom exception to provide more information?  If so, then you want to use this pattern.
First define a custom exception class that derives from Exception:
public class MyCustomException : Exception  // Or you could derive from ApplicationException
{
   public MyCustomException(string msg, Exception innerException)
   : base(msg, innerException)
   {
   }
}
You could also define additional parameters in your custom exception constructor to contain even more information if you wish.  Then, in your application code...
public void SomeMethod()
{
   try
   {
        // Some code that might throw an exception
   }
   catch (Exception ex)
   {
        throw new MyCustomException("Additional error information", ex);
   }
}
You'll want to be sure to keep track of the inner exception, because that will have the most useful call stack information about what caused the exception in the first place.