I don't know how to stop all of them, but one that I am familiar with related to LLBLGen is in the app.config.
When LLBLGen first looks for the ConnectionString, it also checks for the other two keys shown below:
<appSettings>
<add key="Main.ConnectionString" value="Server=SERVER01;Database=NorthWind;Trusted_Connection=True;"/>
<add key="CatalogNameUsageSetting" value="0"/>
<add key="CatalogNameToUse" value="NorthWind"/>
</appSettings>
If it fails to find them, it generates an exception but handles it so it does not bubble up to your code.
Just adding them will prevent that instance of a First Chance Exception.
Set CatalogNameUsageSetting to 0 ignore it's usage.