Here is a simple way:

Code:
On Error GoTo CancelCheck
CommonDialog1.CancelError = True
CommonDialog1.ShowPrinter

Exit Sub
CancelCheck:
MsgBox "They clicked cancel"
This example sets the commondialog control's CancelError property to true making the dialog give an error when a user clicks cancel. In the
Code:
CancelCheck
error handler, do what ever you wish. Call another sub or function, display a msgbox as I did, or whatever. Hope this helps.