By giving 
Try
{
   any thing u want to give without exception
}

catch
{
     here exception takes
}

try
{
  here u have to write ur code
}
catch (Exception ex)
{
 here if u get any error it was handled by Exception ex
}

usually we handle exceptions in an appication using try ...
catch block.....If this structured exception too failed (as 
you said the case of unhandled exception)Then we can define 
user defined execeptions by creating a class which inherits 
the application exception.The exception that contained in 
the method of the class will automatically handled by the 
throw new exception statement ,which contains the error 
message.