Please see the Application.ThreadException event:
http://msdn.microsoft.com/library/en-us/cpref/html/frlrfsystemwindowsformsapplic
ationclassthreadexceptiontopic.asp

tce,
In addition to the other comments:

Depending on the type of application you are creating, .NET has three
different global exception handlers.

For ASP.NET look at:
   System.Web.HttpApplication.Error event
   Normally placed in your Global.asax file.

For console applications look at:
   System.AppDomain.UnhandledException event
   Use AddHandler in your Sub Main.

For Windows Forms look at:
   System.Windows.Forms.Application.ThreadException event
   Use AddHandler in your Sub Main.

It can be beneficial to combine the above global handlers in your app, as
well as wrap your Sub Main in a try catch itself.

There is an article in the June 2004 MSDN Magazine that shows how to
implement the global exception handling in .NET that explains why & when you
use multiple of the above handlers...

http://msdn.microsoft.com/msdnmag/issues/04/06/NET/default.aspx

For example: In my Windows Forms apps I would have a handler attached to the
Application.ThreadException event, plus a Try/Catch in my Main. The
Try/Catch in Main only catches exceptions if the constructor of the MainForm
raises an exception, the Application.ThreadException handler will catch all
uncaught exceptions from any form/control event handlers.

   Public Shared Sub Main()
       AddHandler Application.ThreadException, AddressOf
Application_ThreadException
       Application.EnableVisualStyles()
       Application.DoEvents()
       Try
           Application.Run(New MainForm)
       Catch ex As Exception
           ' log ex for later diagnosis
           ' optionally show "pretty" version to user
       End Try
   End Sub

   Private Shared Sub Application_ThreadException(ByVal sender As Object,
ByVal e As System.Threading.ThreadExceptionEventArgs)

       ' Log the e.Exception for later diagnosis.
       ' optionally show "pretty" version to user

   End Sub

Hope this helps
Jay