The Code Analysis-friendly way to dispose of objects

The problem that is being detected by CA2000 in this case is that a disposable instance may be "orphaned" if an exception occurs before it is passed out of the method. For example, a "correct" implementation of CreateFirstObject would look something like the following:

private SomeObject CreateFirstObject()
{
    var theObject = new SomeObject();
    try
    {
        theObject.FirstProperty = "some value";
    }
    catch
    {
        theObject.Dispose();
        throw;
    }

    return theObject;
}

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Given what you have described concerning your desired behaviour for MainMethod, its "correct" implementation might look something like this:

public void MainMethod()
{
    var object1 = CreateFirstObject();
    try
    {
        SomeCollectionProperty.Add(object1);

        var object2 = CreateSecondObject();
        try
        {
            SomeCollectionProperty.Add(object2);
        }
        catch
        {
            object2.Dispose();
            throw;
        }
    }
    catch
    {
        object1.Dispose();
        SomeCollectionProperty.Remove(object1); // Not supposed to throw if item does not exist in collection.

        throw;
    }
}