I mean what are some of the ways other programmers deal with exception for example, when an error occurs when accessing a web service for say. If an example cant be given for windows phone, give the closest you could.
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There are different ways how to handle errors. basically you use framework to handle the application errors as well as there is a way to handle device related exceptions.
Here is a good intro to how to handle device specific exceptions on windows phone: - Windows Phone 7 Development : Handling Device Exception
There is a related pots in SE - Windows Phone 7 - Handle Error in Application_UnhandledException with WebClient.
Nice video-tutorial from Channel 9 - Code Cleanup, Exception Handling, and Preparing for the Marketplace