My codes get 2 or 3 first-chance exceptions from MS debugger when I compile and execute the code in debug mode in Visual Studio (2010), however, the CUDA debugger found no errors from the code.
So far I have not noticed any abnormal about the results returned by the built program, do I need to worry about these reported exceptions (I get 3 first-chance exceptions there)?
The observation you are making has to do with an exception that is caught and handled properly within the CUDA libraries. It is, in some cases, a normal part of CUDA GPU operation. As you have observed, your application returns no API errors and runs correctly. If you were not within the VS environment that can report this, you would not observe this at all.
This is considered normal behavior under CUDA. I believe there were some attempts to eliminate it in CUDA 5.5. You might wish to try that, although it's not considered an issue either way.