How to debug an aspx file with Visual Studio in IIS, that is not part of a project (or catch website exceptions with Visual Studio)

You have a file in IIS, you want to debug/step through

Open new instance of Visual studio (you may want to run it as Administrator)
File -> Open -> Web Site
In the left side, select Local IIS
Expand and locate the IIS Website your aspx file is part of

Any exception on this site will be caught now by VS