Pros & cons of Exception Handling in .NET Applications?

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C#

Visual-Studio

C#4.0

errors

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Hey!!!
I hope that Exception Handling approach (as proposed by Microsoft's Guidelines & Best Practises) will not have any deviations (or impact) according to any domain specfic or because of client requirements.

Having said that could anybody help me to justify whether catching main Exception everywhere in all methods (in this case single catch block used) is a correct approach or not. As per my understanding we should catch specific exceptions but not all (in this case multiple catch blocks used). But if we dont follow this whether it may have any impact on Performance or any other area? So please explain in detail as I could take decision accordingly for our Project purpose.

Thanks.