buttonOK.Click += (object sender, EventArgs e) =>
{
    string sLogin = "user";
    string sPassw = "123"
    SqlConnection conn = new SqlConnection(String.Format("Data Source={0};Persist Security Info=False;User ID={1};Password={2}", serverName, sLogin, sPassw));
    try
    {
        conn.Open();
    }
    catch (SqlException se)
    {
        if (se.Number == ??? /*DB_SEC_E_AUTH_FAILED*/)
        {
            <...>
        }
    }
    finally
    {
        conn.Close();
        conn.Dispose();
    }                   
};

catch(_com_error e)
{
    if(e.Error() == 0x80040E4DL /*DB_SEC_E_AUTH_FAILED*/)
    {
        <...>