Make the exception happen like this:
when(obj.someMethod()).thenThrow(new AnException());
Verify it has happened either by asserting that your test will throw such an exception:
@Test(expected = AnException.class)
Or by normal mock verification:
verify(obj).someMethod();
The latter option is required if your test is designed to prove intermediate code handles the exception (i.e. the exception won't be thrown from your test method).