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);