A first chance exception is an exception thrown and handled by running code. Catching first chance exceptions can give a clear view about what is going wrong the first chance it occurs.
A first chance exception is a thrown and handled exception in running code. First chance exceptions are used to see into the earliest state of error handling in a running application and can be used to track where exception originate.
An error box tells very little to a developer but catching the first change exception gives the originating line the exception occurred.
If expected exceptions are used in code then first chance exception add nothing but overhead to deubgging problems. This is especially true for 3rd party code.
In Java this is called an Exception Breakpoint that can capture Caught and Uncaught exceptions. In C# this is called a Thrown and User-unhandled exception.
