set the cancelerror property to true. then catch the error.

Code:
Private Sub mnuFileSaveAs_Click() 
on local error goto errhandler
commondialog1.cancelerror = true
CommonDialog1.Filter = "Text (*.txt)|*.txt|" 'You can add other File Names here 
CommonDialog1.ShowSave 

Open CommonDialog1.Filename For Output As #1 
Print #1, Text1.Text 
Close #1 
errhandler:
'catch cancel error here
End Sub
You can also set the cancelerror in design view