Exception Catching

[Lysergsaure]

What is the most correct way to throw and catch an exception?

class Exception; // Has a getMessage() method and a few constructors.

void doSomething(void)
{
	throw new Exception("You're screwed.");
}

#include <iostream>

void main(void)
{
	try
	{
		doSomething();
	}
	catch (Exception *e)
	{
		std::cerr << e->getMessage() << std::endl;
	}
}

Is that good enough? (I think it is the best method because you can delete your exception after you've gotten what you need. Correct me if I'm wrong.)

Or should I perhaps throw it like this:

throw Exception("You're screwed.");

And catch it either by reference:

catch (Exception &e)

Or by value:

catch (Exception e)

I'd like to hear your opinions.