The exception menu does not appear in Visual Studio Web Developer Express. It only appears in Visual C # Express.
However, you can circumvent all exceptions. You can try disabling "Just My Code" debugging, which will catch exceptions thrown in the CLR code and related libraries.
To do this, open Tools -> Options -> Debugging -> General and uncheck "Just My Code" (or "Include only my code").
if it doesn't work try
Debug -> Exceptions -> Common Language Runtime Exceptions - check "when thrown"

If you do not see an exception, try changing your settings by following this guide.
Contact here for documentation.
Update
if it still does not work try
Tools menu >> Import and Export Settings >> Reset all settings. Then choose C
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