Exception handling - line number question

[Me]

I am writing a web application and I want to catch and rethrow every
unhandled exception to the Application_Error. However, the line number
indicated in the stack trace is from the Throw line, rather than the line
where the error actually occurred. This seems counter intuitive.

Try
Throw New IndexOutOfRangeException
Catch ex As Exception
'At this point, the stack trace has the correct line number
Throw 'but in the Application_Error event, this line number is indicated
Finally
'Do some stuff here
End Try

It would be alot easier to troubleshoot if I knew the exact line number
where the error occurred... How can I do that short of creating my own
exception class, and using it in the Throw?

Thanks