How to make visual studio break only on unhandled exceptions?

I cannot find the dialogue in the accepted answer.

In my experience, in Exception Settings, if you hit "Restore the list to default settings", it will not break on exceptions you handled. If you checked a particular exception in Exception Settings, then it will break regardless of whether you handles this exception in your code or not.

Make sure you have Just My Code Enabled by going into Tools-->Options-->Debugger-->General--> Enable Just My Code. This will change your Debug--> Exceptions Dialog Box to show a CheckBox for User-unhandled Errors.