None of the methods of the .NET Framework classes display any message box
unless you explicitely ask them to. So you must have some code somewhere
that catches some (or all) of the exceptions and displays a message box
with the exception message instead of letting the exception bubble up. Find
this code and remove that so that you can trace where the problem comes
from.

Or are you talking about Visual Studio's unhandled exception dialog box
that pops up automatically whenever an unhandled exception occurs in your
code? In this case, run your application in Debug mode and when this dialog
box pops up, click the Break button to break into your code. From there,
you'll be able to examine your stack trace and the state of your objects to
determine why the exception has been thrown.

In any case, you can always configure Visual Studio to break into your code
whenever an exception (handled or not) is thrown by going to: Debug menu ->
Exceptions -> Common Language Runtime Exceptions -> When an exception is
thrown: break into the debugger.