Try  
   ' вызываем например хранимую процедуру
  Catch ex As System.Data.SqlClient.SqlException
          MsgBox(ex.Message)
  End Try

Private WithEvents m_sqlConnection As SqlClient.SqlConnection

Private Sub MyInfoMessageEventHandler(ByVal sender As Object, ByVal e As System.Data.SqlClient.SqlInfoMessageEventArgs) Handles m_sqlConnection.InfoMessage
    Dim sqlerror As SqlClient.SqlError
    Dim message As String = ""
    For Each sqlerror In e.Errors
        message = message & sqlerror.Message & vbCrLf
    Next
    MsgBox(message)
End Sub

Private Sub Test()
    Me.m_sqlConnection = New SqlClient.SqlConnection("Data Source=.;Initial Catalog=pubs;Integrated Security=true")
    Dim cmd As SqlClient.SqlCommand = New SqlClient.SqlCommand("print 'test print'; RAISERROR ('first raise',10, 1); RAISERROR ('second raise',9, 1)", Me.m_sqlConnection)
    Me.m_sqlConnection.Open()
    cmd.ExecuteNonQuery()
    Me.m_sqlConnection.Close()
End Sub

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