It's the way Microsoft still does it with the auto code in Office 2003

Private Sub Button_Click
On Error Goto err_Button_Click
   code
   ...
exit_Button_Click:
   Exit Sub
err_Button_Click:
   Msgbox Err.Description
   Resume exit_Button_Click
End Sub

after the err_whatever: tag, you can set up code to compare the Err.Code and handle whatever errors you expect.