Why win32 exception are not caught by c# exception handling mechanism

Question

I have a winforms application.Winforms start with Program.cs where we have main() defined.I have put this code in try-catch block.

 [STAThread]
    static void Main()
    {
        try
        {
            Application.EnableVisualStyles();
            Application.SetCompatibleTextRenderingDefault(false);
            Application.Run(new frmSplash());
        }
        catch (Exception ex)
        {
            MessageBox.Show(ex.Message);
            if (ex.InnerException != null)
            {
                MessageBox.Show(ex.InnerException.ToString());
            }
        }
    }

Whenever there is a win32 exception,this mechanism fails and unhandled exception message is thrown and application crashes.
I have 2 questions regarding this code:

1) Why win32 exceptions are not caught.

2) Is it a good practice to catch exceptions at the highest level.

Answer 1

EDIT : as Pratik pointed out, the following answer applies to .NET 1.0 and .NET 1.1 only. Starting with .NET 2.0, non-CLS exception should be caught as a RuntimeWrappedException.

---

Because Win32 exceptions do not derive from the .NET Exception class. Try :

try {
} catch (Exception ex) {
    // .NET exception
} catch {
    // native exception
}

See Catch non-CLSCompliant exceptions in general handlers for more information.

Answer 2

The execution of Application.Run is not throwing an error. That is happening on another thread (or at least asynchronously).

Its good idea to inform the user in friendly way that the application has failed before it disapears completely, however its not a good idea to just catch then continue.