I'm trying to improve my app with some error catching.

I have a module that downloads a file from the Internet to a local folder. At the moment, if the local folder doesn't exist, it just crashes here:

Code:
strLocalFile = New FileStream(pPath, FileMode.Create, FileAccess.Write, FileShare.None)
with error:

System.IO.DirectoryNotFoundException was unhandled
Message="Could not find a part of the path 'C:\Documents and Settings\Simon\Desktop\test\download.zip'."
Source="mscorlib"
How can I do something with that error and stop my app from crashing?

Ideally, have a messagebox show saying 'directory not found' or similar.

Thanks

Simon