Try/Catch doesn't catch exception

Question

I have project with FiddlerApplication that saves some sessions for me. When I start the program first launch after restart 100% fails and then 10% fails 90% works.

The biggest problem that when it fails it doesn't catch any exceptions in try/catch. Here is my code

static class Program
{
    [STAThread]
    static void Main(string[] args)
    {
        try
        {
            browserToRun.GoTo("www.test.com"); 
            FiddlerApplication.AfterSessionComplete +=  FiddlerApplication_AfterSessionComplete;

            //HERE it fails
            FiddlerApplication.Startup(8888, true, true, true);
            FiddlerApplication.Shutdown();
        }
        catch (Exception ex)
        {
            // it is not getting to here
            FiddlerApplication.AfterSessionComplete -= FiddlerApplication_AfterSessionComplete;
            FiddlerApplication.Shutdown();
        }
    }

    public static void FiddlerApplication_AfterSessionComplete(Session sess)
    {
        try
        {
            if (!sess.fullUrl.Contains("test"))
            return;
            GlobalDownloadLink = sess.fullUrl;
        }
        catch (Exception ex)
        {
            successful = false;

            throw new System.ArgumentException(ex.Message, "FiddlerApplication_AfterSessionComplete");
        }
    }
}

My new Updated Apconfigwith new error Configuration System Failed to Initialize

<configuration>

  <runtime>
    <legacyCorruptedStateExceptionsPolicy enabled="true" />
  </runtime>
<configSections>

</configSections>
<startup><supportedRuntime version="v4.0" sku=".NETFramework,Version=v4.0"/></startup>

  <appSettings>
    <add key="BrowserShow" value="Y"/>
    <add key="DebugCreate" value="true"/>
    <add key="FileName10" value="AccountActivity"/>
    <add key="FileName20" value="ForeignActivities"/>
    <add key="FileNameShar" value="MatbeotSchirim"/>
  </appSettings>
</configuration>

Answer 1

Some Exceptions are not getting caught by try..catch blocks unless you specify the attribute [HandleProcessCorruptedStateExceptions] on the function (Main function in your code). Of couse, the same could be accomplished by modifying the config file as Oxoron described.