Catch An Error While Dimensioning The DA (SQL Data Adapter)?

I am trying to catch an error while dimensioning the DA (SQL Data adapter)Have not used Try ..Catch so pls bear with me for this juvenile crime!

Code:

Try Dim da As New SqlDataAdapter Dim ds As New Data.DataSet If conn.State <> ConnectionState.Open Then conn.Open() da.SelectCommand = New SqlCommand da.SelectCommand.Connection = conn

Catch ex As Exception MsgBox(ex.Message)Finally 'conn.Close() ' endEnd Try What I am trying to do is the catch the "object not set to an instance of an object error" and if caught I want to continue.I would like to know what to add in the Finally section?I have not tried this I would like the gurus for any inputs before I try it in my program.