How can I handle the exception which throws on an external dll?
I recently answered a similar (ish) question which may prove useful - Catch completely unexpected error
EDIT. I have to agree with Hans' comment above - might be an idea to find another FTP server.
Just for completeness, here's the appdomain/thread exception setup from - http://msdn.microsoft.com/en-GB/library/system.windows.forms.application.threadexception.aspx
Application.ThreadException += new ThreadExceptionEventHandler (ErrorHandlerForm.Form1_UIThreadException);
// Set the unhandled exception mode to force all Windows Forms errors to go through
// our handler.
Application.SetUnhandledExceptionMode(UnhandledExceptionMode.CatchException);
// Add the event handler for handling non-UI thread exceptions to the event.
AppDomain.CurrentDomain.UnhandledException +=
new UnhandledExceptionEventHandler(CurrentDomain_UnhandledException);