That depends on Delphi version you are using. I can't recall for older version. But for Delphi XE2 (and perhaps above), you go to: Tools -> Options.. -> Debugger Options -> Embarcadero Debuggers -> Language Exceptions.
There you add the class name of the exception (for this case it's Exception), then put checkmark in front of it.
In older version please try Tools -> Options you may find similar thing.
Edited by Luthfi, 26 October 2013 - 12:59 AM.