public bool Throw { get; set; }

Public Property [Throw] As Boolean

static void Main() {  
    DevExpress.Data.Utils.ProcessStartPolicy.Failed += ProcessStartPolicy_Failed;  
    //...  
}  

private static void ProcessStartPolicy_Failed(object sender, DevExpress.Data.Utils.ProcessStartPolicy.ProcessStartFailedExceptionEventArgs e) {  
    if(e.Exception is Win32Exception) {  
        System.Diagnostics.ProcessStartInfo si = sender as System.Diagnostics.ProcessStartInfo;  
        e.Throw = false;  
        MessageBox.Show("File not found: " + si.FileName);  
    }  
}

Public Class Form1  
    Shared Sub Main()  
        AddHandler DevExpress.Data.Utils.ProcessStartPolicy.Failed, AddressOf ProcessStartPolicy_Failed  
        Application.EnableVisualStyles()  
        Application.SetCompatibleTextRenderingDefault(False)  
        Application.Run(New Form1)  
    End Sub  

    Private Shared Sub ProcessStartPolicy_Failed(ByVal sender As Object, ByVal e As DevExpress.Data.Utils.ProcessStartPolicy.ProcessStartFailedExceptionEventArgs)  
        If TypeOf e.Exception Is Win32Exception Then  
            Dim si As System.Diagnostics.ProcessStartInfo = TryCast(sender, System.Diagnostics.ProcessStartInfo)  
            e.Throw = False  
            MessageBox.Show("File not found: " & si.FileName)  
        End If  
    End Sub  
End Class