Assuming that the problem is with serialization assemblies as otherwise it should be trivial to know why it fails....
If we tell the debugger to stop on all exception, it will stop even if an exception in handled by the framework...
A Google search of XML serialization FileNotFoundException would give a lot of links.
https://www.google.ca/?client=safari&channel=ipad_bm#channel=ipad_bm&q=xml+serialization+filenotfoundexception[
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First two results:
http://stackoverflow.com/questions/8764742/filenotfoundexception-when-deserializing-xml[
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http://stackoverflow.com/questions/1127431/xmlserializer-giving-filenotfoundexception-at-constructor[
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Thus this "problem" is well known so better to use Google that to ask same kind of question yet another time...
If you otherwise don't care for FileNotFoundException, then you can uncheck that specific option in you exception settings.
It would be nice if there would be a way to disable those exceptions in specific cases but it is either on or off switch...
NullReferenceException and TimeoutException are other exceptions that you would generally want to stop on them but not always.
Resources in ASP.NET is another case where you sometime have to handle exceptions if you want to find strings in multiple locations in a defined order as there a no function to test if a specific resource exists (well there might be some way to do it but not as easy as as TrySomething function...)
Other links will probably tell how to fix that but I never tried it. I simply ignore that in my own application as the application works as expected anyway.