[php] PHP Fatal error: Uncaught exception 'Exception'

I'm playing around with exceptions in PHP. For example, I have a script that reads a $_GET request and loads a file; If the file doesn't exists, an new exception should be thrown:

if ( file_exists( $_SERVER['DOCUMENT_ROOT'] .'/'.$_GET['image'] ) ) {
    // Something real amazing happens here.
}
else {
    throw new Exception("The requested file does not exists.");
}

The problem is that, when I try to supply an non existent file for the test, I got a 500 error instead of the exception message. The server log is the following:

[09-Jul-2013 18:26:16 UTC] PHP Fatal error:  Uncaught exception 'Exception' with message 'The requested file does not exists.' in C:\sites\wonderfulproject\script.php:40
Stack trace:
#0 {main}
  thrown in C:\sites\wonderfulproject\script.php on line 40

I wonder if I'm missing something real obvious here.

I've checked this question PHP fatal error: Uncaught exception 'Exception' with message but it's not quite like my issue, and have no concise answer.

Help, please?

* EDIT *

It seems this is something related to the throw keyword. If I use echo for example, I got the message printed on the screen, like this:

exception 'Exception' with message 'The file does not exists.' in C:\sites\wonderfulproject\script.php:183 Stack trace: #0 {main}

Why is that?

** EDIT 2 **

Thanks to @Orangepill, I got a better understanding about how to handle exceptions. And I found a superb tut from nettuts that helped a lot. The link: http://net.tutsplus.com/tutorials/php/the-ins-and-outs-of-php-exceptions/

For

throw new Exception('test exception');

I got 500 (but didn't see anything in the browser), until I put

php_flag display_errors on

in my .htaccess (just for a subfolder). There are also more detailed settings, see Enabling error display in php via htaccess only

Just adding a bit of extra information here in case someone has the same issue as me.

I use namespaces in my code and I had a class with a function that throws an Exception.

However my try/catch code in another class file was completely ignored and the normal PHP error for an uncatched exception was thrown.

Turned out I forgot to add "use \Exception;" at the top, adding that solved the error.