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Difference in Win Dbg and Visual Studio Debugger

When I am attaching to a process using Visual Studio Debugger my program run's fine.  When I am attatching using the Windows Debugger(not very fimilar with this) I am catching a snag on some exception.  Why is this?  Which debugger should I really use?
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What kind of exception?
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cophi

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an exception on ntdll.dll.  I doubt the exception is actually thrown inside of that, but other than that it just spits out a bunch of address information...
Hm, I assume that is a 'First Chance Exception'? If so, you can simply ignore it, that only means that an SEH exception was handled successfully.
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I don't understand tho, In the Visual Studio Debugger I selected to break into the debugger on any first chance exceptions yet none are thrown.  Why is one thrown when using the Windows Debugger even if its only a first chance exeception?
That would indeed be odd. What is the exact exception information given by WinDbg?
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(7d0.360): Break instruction exception - code 80000003 (first chance)
eax=7ffd7000 ebx=00000001 ecx=00000002 edx=00000003 esi=00000004 edi=00000005
eip=7c901230 esp=0571ffcc ebp=0571fff4 iopl=0         nv up ei pl zr na po nc
cs=001b  ss=0023  ds=0023  es=0023  fs=0038  gs=0000             efl=00000246
ntdll!DbgBreakPoint:
7c901230 cc               int     3

Doesn't really mean much to me.... but I do not get any exceptions when running visual studio
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jkr
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>>>> Visual Sudio probably does not catch it

User breakpoint 3 is the way Visual Studio debugger handles assertions. I assume when using a different debugger you would need to change 'Debug Info' from 'Program Database' == *.pdb to C7 as there are too many specials in pdb than can't be handled by a different debugger.

Regards, Alex