<Application 
    xmlns="http://schemas.microsoft.com/client/2007"
    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml" 
    x:Class="SilverlightApplication.App"
    Startup="App_Startup"
    UnhandledException="App_UnhandledException">

</Application>

using System.IO; // FileNotFoundException
using System.Windows; // Application, StartupEventArgs, ApplicationUnhandledExceptionEventArgs

namespace SilverlightApplication
{
    public partial class App : Application
    {
        public App()
        {
            InitializeComponent();
        }

        private void App_Startup(object sender, StartupEventArgs e)
        {
            // Specify the root visual
            this.RootVisual = new Page();
        }

        private void App_UnhandledException(object sender, ApplicationUnhandledExceptionEventArgs e)
        {
            if (e.ExceptionObject is FileNotFoundException)
            {
                // Inform the user

                // Recover from the error
                e.Handled = true;
                return;
            }

            // Exception is unrecoverable so stop the application and allow the 
            // Silverlight plug-in control to detect and process the exception.
        }
    }
}