See the following post on the Visual Studio Code Analysis blog:
http://blogs.msdn.com/fxcop/archive/2006/06/14/631923.aspx

Throwing a general exception type such as Exception or SystemException in a library or Framework forces consumers to catch all exceptions, including unknown exceptions that they do not know how to handle.

Instead, either throw a more derived type that already exists in the Framework, or create your own type that derives from Exception.

The following list examples of when you should throw specific exceptions:

When validating a parameter (including the value parameter in the set accessor of a property) that:

• Is a null reference (Nothing in Visual Basic)
  throw System.ArgumentNullException.
• Is outside of the allowable range of values (such as an index for a Collection/List)
  throw System.ArgumentOutOfRangeException.
• Is an invalid enum value
  throw System.ComponentModel.InvalidEnumArgumentException.
• Contains a format that not meet the parameter specifications of a method (such as the format string for ToString(String))
  throw System.FormatException.
• Is otherwise invalid
  throw System.ArgumentException.

When an operation:

• Is invalid for an object's current state
  throw System.InvalidOperationException.

• Is performed on an object that has been disposed
  throw System.ObjectDisposedException.

• Is not supported (such as in an overridden Stream.Write in a Stream opened for reading)
  throw System.NotSupportedException.

• Would result in an overflow (such as in a explicit cast operator overload)
  throw System.OverflowException.

For all other situations, consider creating your own type that derives from Exception and throw that. For more information, see Krzysztof Cwalina's blog How to Design Exception Hierarchies (http://blogs.msdn.com/kcwalina/archive/2007/01/30/ExceptionHierarchies.aspx)

You probably want to throw OutOfMemoryException when PInvoked native code returns ERROR_OUTOFMEMORY or a similar result. I discussed this with FxCop authors and they say that it is okay to suppress the rule in such circumstances.