How to debug an exception in another thread?

I have many short-lived threads that update my program, with events triggered from a socket connection. My problem is that I don’t know how to debug this, for example, how to get the correct information about where exceptions exist in the code. Because I get, for example, an exception, as shown below, and it will just print in the Incredible window. The popup does not have a popup, and it does not highlight a single line in the code or show which method he used.

What am I missing? What can I do to see these things? And what improvements do VS2010 provide in this situation, if any?

A first chance exception of type 'System.InvalidOperationException' occurred in System.Core.dll
A first chance exception of type 'System.Threading.ThreadAbortException' occurred in mscorlib.dll
A first chance exception of type 'System.Threading.ThreadAbortException' occurred in Krs.Ats.IBNet.dll
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Go to the section "Debugging → Exceptions ...", find "Exceptions for the total runtime of the language" and check the box "Abandoned". Now start debugging your application. As soon as any of the CLR exceptions occur, execution will stop at that line.

- Pavel

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