I think all the exceptions will be of class WebException. This class
gives you a bunch of information about just what went wrong, but it
isn't easy to get at it sometimes.

What I do is this:

public static string WebExceptionMessage(WebException ex)
{
    switch(ex.Status)
    {
        case WebExceptionStatus.ConnectFailure:
            return "Unable to connect to the Internet";

        case WebExceptionStatus.NameResolutionFailure:
            return "Unable to resolve the server's address";

        case WebExceptionStatus.Timeout:
            return "Timeout waiting for the server to respond"
    }

    if (ex.Response is HttpWebResponse)
    {
        HttpWebResponse response = (HttpWebResponse) ex.Response;
        if (response.StatusCode == HttpStatusCode.NotFound")
        {
            return "Web server contacted, but the web service was not found.";
        }
        else
        {
            return "Some other error happened";
        }
    }
}

R.