The problem is solved when using .NET 2.0. Following code shows the error (.NET 1.1) and the solution (.NET 2.0) :
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
AddHandler Application.ThreadException, AddressOf OnThreadException
Dim ds As New DataSet
ds.Tables.Add("Customers")
ds.Tables("Customers").Columns.Add("ID", GetType(Int32))
ds.Tables("Customers").Columns.Add("Name", GetType(String))
ds.Tables("Customers").Rows.Add(New Object() {1, "John"})
ds.Tables("Customers").Rows.Add(New Object() {2, "Jeff"})
Me.GridDataBoundGrid1.DataSource = ds
Me.GridDataBoundGrid1.DataMember = "Customers"
End Sub
Private Sub GridDataBoundGrid1_CellDoubleClick(ByVal sender As Object, ByVal e As Syncfusion.Windows.Forms.Grid.GridCellClickEventArgs) Handles GridDataBoundGrid1.CellDoubleClick
Throw New ApplicationException("Hi, this is an error.")
End Sub
Private Sub OnThreadException(ByVal sender As Object, ByVal e As System.Threading.ThreadExceptionEventArgs)
MessageBox.Show(e.Exception.Message)
End Sub