Global Error Handling

I am an advanced c#/.NET user, however, I am a beginner in ASP.NET.  I am trying to create a simple website, and had a question about error handling.
I am trying to create a global error handler that I want to 'throw' all exceptions to so that it can properly log the error and then redirect the user to an "Error has occurred" page.  I did some reading and I created a Global.asax file and put my Logging/Emailing code in the Application_Error function.  In the same function I put:
Server.ClearError();
Server.Execute(ErrorURL);
So that it logs the error and then redirects the user to an error page.  However, the problem is that I have a "Default.aspx" page, and just to see how error handling works, in the Page_Load() function I just wrote:
throw new Exception("test exception");
to see where it goes, and it keeps saying that is an unhandled exception.  I debugged it and I see that the Appl ...