Go to Debug > Exceptions (Visual Studio 2013 and earlier) or Debug > Windows > Exception Settings (Visual Studio 2015 and later).
In this dialog you can enable first chance debugging of exceptions - when an exception is thrown, the debugger will automatically break at the throwing code before the "catch" code is executed, allowing you to debug it.
What you want to do is ask it to break when CLR exceptions are thrown, not only when they're unhandled (image from Visual Studio 2013 - 2015 is similar but now is in a view rather than a dialog):

(Note: This won't get the debugger to break whenever you execute a try block, only if the exception is actually thrown)