Debugging errors in BackgroundWorker

Hi!
I'm using the backgroundworker in an MDI application. The backgroundworker is used in each of the MDI children to analyze some parameters.
Sometimes there is an error during the analysis, but when the execution stops the debugger highlights Program.Run() instead of the actual line that generated the exception.

The problem is that the data that is analyzed is downloaded from internet and I don't get the exception regularly.
How can I debug the exact line that creates the issue?

Put the DoWork code inside a try/catch block and log the error.