How can I catch the BeforeNavigate2 event?

This is a known bug. See http://support.microsoft.com/default.aspx?scid=KB;EN-US;Q311298&ID=KB;EN-US;
If you are using the second solution from our FAQ ‘How can I host a WebBrowser control in a Windows Form’ you will not have this problem but if you use the automatically generated wrapper classes see the following solution:

John Cullen posted the following answer in the microsoft.public.dotnet.framework.interop newsgroup.
The problem of the BeforeNavigate2 event not firing in C# applications has been floating around various groups for several months. Microsoft have not yet fixed the problem, although it is documented in the knowledge base. Until they do provide a fix, I suggest the following workaround to the problem which uses the fact the the old Webbrowser_V1 BeforeNavigate event *can* be caught. Note, use of this interface is deprecated, however since there doesn’t appear to be any chance of a fix any time soon…

...

// define the webbrowser object
private AxSHDocVw.AxWebBrowser axDocument;

// define an IE3 compatible webbrowser object.
private SHDocVw.WebBrowser_V1 axDocumentV1;

public Form1()
{
//...
   object o = null;
   axDocument.Navigate('about:blank', ref o, ref o, ref o, ref o);
   object oOcx = axDocument.GetOcx();
   try
   {
      	axDocumentV1 = oOcx as WebBrowser_V1;
     	axDocumentV1.BeforeNavigate += new SHDocVw.DWebBrowserEvents_BeforeNavigateEventHandler(this.axDocumentV1_BeforeNavigate);
   } 
   catch (Exception ex)
   {
      	// ignore errors. If it doesn’t work, there’s not a lot to do!
      	Console.WriteLine('Add BeforeNavigate event handler failed with{0}.', ex.Message);
   } 
//...
}

private void axDocumentV1_BeforeNavigate(string URL, int Flags, string TargetFrameName, ref object PostData, string Headers, ref bool Processed)
{
	Console.WriteLine('BeforeNavigateURL= {0}', URL);
	//false= allow navigate to continue.
	//true= cancel navigation.
	Processed=false;
}