Asserting an exception thrown from a mock object constructor

Assume: VS2010, .NET 4, C#, NUnit, Moq

I am new to TDD and came across this issue while working through a project.

Given the class:

public abstract class MyFileType
{                
    public MyFileType(String fullPathToFile)
    {
        if (!File.Exists(fullPathToFile))
        {
            throw new FileNotFoundException();
        }

        // method continues

    }
}

I am trying to test it using the method:

[Test]
[ExpectedException(typeof(System.IO.FileNotFoundException))]
public void MyFileType_CreationWithNonexistingPath_ExceptionThrown()
{
    String nonexistingPath = "C:\\does\\not\\exist\\file.ext";
    var mock = new Mock<MyFileType>(nonexistingPath);
}

The test fails and NUnit reports an exception was never thrown.

I did find a section in the NUnit docs talking about asserting with exceptions, but the examples didn't seem like what I am trying to do. I am still getting started with NUnit and Moq so I may be going about this the wrong way.

UPDATE:

To help clarify why this example uses an abstract class, it is the base class of a series file types where only the loading and disposing of the data would differ between subclassed types. My initial thought was to put the logic for open/setup into a base class since it is the same for all types.