Tools > Options : Debugging > Output Window : Exception Messages (On/Off).
A first chance exception is still a thrown exception, which is indication of a problem that seemingly had to be caught to be resolved. The actual message that appears here is not too informative ('first change of type.. occured in assembly'), but combined with other debug reporting it may be easy to see in which context it happened when debugging 'live'. Perhaps you're getting a lot of first chances that is not expected and decide to take a closer look. The identification of assembly may also be important, perhaps you can solve the problem differently in such a way that another assembly doesn't throw (for example input parameters validation), or perhaps solve logical problems in your own code. It could be that what you initially solved by simply adding a Try block now you can rearrange, it is part of the debugging process to identify and solve problems that you first didn't anticipate. As such avoid Try blocks whenever possible, unless you know they can't or shouldn't be avoided, because when the problem occurs you're forced to resolve it right there and not lazily let the first chance pass.