How to throw a C++ exception

I have a very poor understanding of exception handling(i.e., how to customize throw, try, catch statements for my own purposes).

For example, I have defined a function as follows: int compare(int a, int b){...}

I'd like the function to throw an exception with some message when either a or b is negative.

How should I approach this in the definition of the function?

Simple:

#include <stdexcept>

int compare( int a, int b ) {
    if ( a < 0 || b < 0 ) {
        throw std::invalid_argument( "received negative value" );
    }
}

The Standard Library comes with a nice collection of built-in exception objects you can throw. Keep in mind that you should always throw by value and catch by reference:

try {
    compare( -1, 3 );
}
catch( const std::invalid_argument& e ) {
    // do stuff with exception... 
}

You can have multiple catch() statements after each try, so you can handle different exception types separately if you want.

You can also re-throw exceptions:

catch( const std::invalid_argument& e ) {
    // do something

    // let someone higher up the call stack handle it if they want
    throw;
}

And to catch exceptions regardless of type:

catch( ... ) { };

Though this question is rather old and has already been answered, I just want to add a note on how to do proper exception handling in C++11:

Use std::nested_exception and std::throw_with_nested

It is described on StackOverflow here and here, how you can get a backtrace on your exceptions inside your code without need for a debugger or cumbersome logging, by simply writing a proper exception handler which will rethrow nested exceptions.

Since you can do this with any derived exception class, you can add a lot of information to such a backtrace! You may also take a look at my MWE on GitHub, where a backtrace would look something like this:

Library API: Exception caught in function 'api_function'
Backtrace:
~/Git/mwe-cpp-exception/src/detail/Library.cpp:17 : library_function failed
~/Git/mwe-cpp-exception/src/detail/Library.cpp:13 : could not open file "nonexistent.txt"

Just add throw where needed, and try block to the caller that handles the error. By convention you should only throw things that derive from std::exception, so include <stdexcept> first.

int compare(int a, int b) {
    if (a < 0 || b < 0) {
        throw std::invalid_argument("a or b negative");
    }
}

void foo() {
    try {
        compare(-1, 0);
    } catch (const std::invalid_argument& e) {
        // ...
    }
}

Also, look into Boost.Exception.