Why is my Catch block only running while Debugging in Visual Studio?

Code in Program.cs

[STAThread]
static void Main()
{
    Application.EnableVisualStyles();
    Application.SetCompatibleTextRenderingDefault(false);

    try
    {
        Application.Run(new Form1());
    }
    catch (Exception ex)
    {
        MessageBox.Show("Blah...");
    }
}

In Form1 I have a button with the code throw new Exception("");.

If I run the application from Visual Studio, then my messagebox pops up (with message 'Blah...'). But if I run the application from executable file, then the catch block doesn't execute at all.

Why the difference?

I am using Visual Studio 2010, .NET 4.0, Windows XP.