I did a program and in some point - when the program needs to exit he throw an exception here is the code

try
{
    Application.Run(new Form1());
}
catch (ExitException) { }

In the VS it's working fine (VS 2008 - C#) But when I run it separately from the VS - the program say so the error is not handled

I know so I can do like this Application.ExitThread() - But... I need to handle the exit of the program.

1. Why In VS its work fine and outside its create errors?

2. And how to solve it without using the global error handling?

Thanks in advance