rethrown exception not caught by Application_Error

Hi,

I'm trying to implement some centralised exception handling and
logging in the Application_Error() event of global.asax.

If the code that generates the exception is not inside a try-catch
block then Application_Error() runs correctly. However, I want to use
a try-catch-finally. I want to do some stuff in the catch block before
re-throwing the exception. In this case the exception is correctly
caught by the catch but even though I re-throw the same exception,
Application_Error() doesn't run.

Try
'Code that generates Exception
Catch ex As Exception
'Do stuff here
Throw
Finally
'Tidy up
End Try

Any ideas?