Throwing exceptions is sloooooow.
We all learn as novice .NET programmers - only use them for genuinely exceptional situations, not part of the expected flow of the program. Catching a thrown exception can be many thousands of times slower than normal program flow, so use them with care.
All excellent advice.
However, in Dot Net Anywhere, exceptions are fast - see JIT_Execute.c for details.
Of couse, fast is relative. Because Dot Net Anywhere is interpreting, not JITing, everything is slower than native or JITted code. But exception program flow is no slower than normal program flow.
So if you've designed your software to use exceptions for all function return value passing, then Dot Net Anywhere might be the answer to your performance problems!
Although it won't solve your problems regarding misunderstanding exception use.