In the VS debugger, you can just enable "Break On Thrown Exception" in the Exceptions dialog. Then you don't need to set a breakpoint, the debugger will automatically stop when the exception is raised.
You make this change in: Debug >> Exceptions >> Common Language Runtime Exceptions
Just check the appropriate exception in the "Thrown" column in the dialog:
If you need to break before the exception is raised (let's say to inspect some volatile data), it's possible to set conditional breakpoints on a particular line that only breaks when some condition in your code is true. To do this, you can set a regular breakpoint and then right click on the red circle icon in the margin and select: [Condition...].
This brings up the conditional breakpoint dialog where you can write an expression that will cause the debugger to break when evaluated to true (or when some value changes). Breakpoint conditions can be a bit finicky, but if you stick to simple variables in your code it works well.