XmlSerializer giving FileNotFoundException at constructor

Like Martin Sherburn said, this is normal behavior. The constructor of the XmlSerializer first tries to find an assembly named [YourAssembly].XmlSerializers.dll which should contain the generated class for serialization of your type. Since such a DLL has not been generated yet (they are not by default), a FileNotFoundException is thrown. When that happenes, XmlSerializer's constructor catches that exception, and the DLL is generated automatically at runtime by the XmlSerializer's constructor (this is done by generating C# source files in the %temp% directory of your computer, then compiling them using the C# compiler). Additional constructions of an XmlSerializer for the same type will just use the already generated DLL.

UPDATE: Starting from .NET 4.5, XmlSerializer no longer performs code generation nor does it perform compilation with the C# compiler in order to create a serializer assembly at runtime, unless explicitly forced to by setting a configuration file setting (useLegacySerializerGeneration). This change removes the dependency on csc.exe and improves startup performance. ^{Source: .NET Framework 4.5 Readme, section 1.3.8.1.}

The exception is handled by XmlSerializer's constructor. There is no need to do anything yourself, you can just click 'Continue' (F5) to continue executing your program and everything will be fine. If you're bothered by the exceptions stopping the execution of your program and popping up an exception helper, you either have 'Just My Code' turned off, or you have the FileNotFoundException set to break execution when thrown, instead of when 'User-unhandled'.

To enable 'Just My Code', go to Tools >> Options >> Debugging >> General >> Enable Just My Code. To turn off breaking of execution when FileNotFound is thrown, go to Debug >> Exceptions >> Find >> enter 'FileNotFoundException' >> untick the 'Thrown' checkbox from System.IO.FileNotFoundException.

Believe it or not, this is normal behaviour. An exception is thrown but handled by the XmlSerializer, so if you just ignore it everything should continue on fine.

I have found this very annoying, and there have been many complaints about this if you search around a bit, but from what I've read Microsoft don't plan on doing anything about it.

You can avoid getting Exception popups all the time while debugging if you switch off first chance exceptions for that specific exception. In Visual Studio, go to Debug -> Exceptions (or press Ctrl + Alt + E), Common Language Runtime Exceptions -> System.IO -> System.IO.FileNotFoundException.

You can find information about another way around it in the blog post C# XmlSerializer FileNotFound exception (which discusses Chris Sells' tool XmlSerializerPreCompiler).