The Try word means “Try to execute this code”. The Catch word means “Catch any errors here”. The ex is a variable, and the type of variable it is an Exception object.
Example
Public Function Delete(ByVal fileName As String) As Boolean
Try
File.Delete(String.Format("{0}\{1}", ConfigurationManager.AppSettings("ImageDirectory"), fileName))
Return True
Catch ex As Exception
Return False
End Try
End Function