WinDbg will catch second chance exceptions by default, so you just need to turn off the first chance exceptions. Doing this for a single type of exception is simple:
0:000> sxd av
0:000> *** Check the setting
0:000> .shell -ci "sx" find "av"
See set all exceptions to set all exception types to second-chance only.
Since it does not seem to be an option to perform those commands at debug time, you can also try to configure a Workspace that has exception handling disabled and then reuse the workspace. For understanding the concept of Workspaces, the MSDN article Uncovering how Workspaces work was really helpful. It is a set of experiments that you should do yourself once.
With that background knowledge, attach to any process
0:000> .foreach(exc {sx}) {.catch{sxd ${exc}}}
0:000> *** perhaps some other useful workspace relevant commands here
0:000> *** e.g. .symfix seems useful
0:000> *** File / Save Workspace As ...
0:000> *** Enter a name, e.g. myworkspace
0:000> q
Restart WinDbg with the -W myworkspace
command line switch. Attach to any process. Check if your setting have been applied (e.g. sx
, .sympath
). If everything is fine, you can start debugging.