What you're describing doesn't make sense to me. If it's talking about unhandled exceptions, that sounds like it is at run time, not compile time. Perhaps when your game is first starting, but maybe even before it shows your game's window.
Does it come up with a little window that has at the very top, a message that says ContentLoadException was unhandled, and then the next line below that, something like Error loading "SomeRandomName". File not found.?
If it shows another error message there instead, let me know what it is, and we can go from there. For now, I'll assume this is the problem, since it is the most likely possibility.
If so, it means the name you're providing to the Load method doesn't match the name/location of the content inside of your content project. You might want to check to make sure that the path to the file is included in the name, and not the extension.
For instance:
+ ContentProject
starship.fbx
+ Images
background.png
+ Music
soundtrack1.mp3
soundtrack2.mp3
These three would be "starship", "Images/background", "Music/soundtrack1", and "Music/soundtrack2" by default.
If that all looks right, right click on the file you're trying to load and click on Properties. In the Properties window that comes up, make sure that you're using the name listed by Asset Name. For instance, if the Asset Name for soundtrack2.mp3 actually said "MenuMusic", then instead of using "Music/soundtrack2", you'd use "Music/soundtrack2" to access it.
Let me know if that helps solve your problem!