Harkos,
Wrapping your Application.Run method with a Try/Catch block will not catch
unhandled exceptions.

The events occur asynchronously, in response to mouse clicks & other user or
system actions, if you were to catch these after Application.Run your app
would have stopped running  (Application.Run is a 'Message Pump' loop, you
do not want that loop to exit, unless you are exiting your app).

If you want to avoid the window that says there was an unhandled exception,
you can use global exception handlers in your .NET app.

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.

In stead of the do try/catch loop, simply handle the
Application.ThreadException event before calling other methods on
Application.

Hope this helps
Jay