http://bugs.winehq.org/show_bug.cgi?id=21333
--- Comment #4 from Vincent Povirk madewokherd@gmail.com 2010-01-11 21:03:39 --- It's not usually a problem, as first chance exceptions only show up when running a program through winedbg. This is not a common thing to do.
What led you to run your program in winedbg? If it was some guide, it may be worth putting a note there.