I downloaded and installed the new Microsoft Java VM, version 3165.  It fixed a bug that occurred in version 3158 (and possibly other earlier versions) which caused the following program to hang instead of throwing an exception:

public class MSVM3158 {
    public static void main (String [] args) throws Exception
    {
        try {
            throw new Exception ("xxx");
        } finally {
        }
    }
}