unhandled exception after WebClient.DownloadDataAsync was canceled

Question

I'll start on my previous problem: I was using WebClient.DownloadData to download binary data. But, in some cases, the download was too long (not the request-response, mostly because of the streaming). You can read about this problem here.

So, as a workaround, I started using the WebClient.DownloadDataAsync:

        try
        {
            using (WebClient wc = new WebClient())
            {
                byte[] content = null;

                wc.DownloadDataCompleted +=
                    delegate(object sender, DownloadDataCompletedEventArgs e)
                    {
                        if (e.Error != null)
                        {
                            content = null;
                        }
                        else if (!e.Cancelled)
                        {
                            content = e.Result;
                        }

                        ((AutoResetEvent)e.UserState).Set();
                    };

                AutoResetEvent downloadWaitEvent = new AutoResetEvent(false);
                wc.DownloadDataAsync(@"\\1.1.1\a.jpg", downloadWaitEvent);
                if (downloadWaitEvent.WaitOne(Timeout))
                {
                    return content;
                }
                else
                {
                    wc.CancelAsync();
                }
            }
        }
        catch (Exception ex)
        {
            // I don't catch the web exception here
        }

It works great, until I receive unhandled WebException, with the following scenario:

My timeout is set to 10 seconds. When the reset event fails, I call wc.CancelAsync(), which terminate the download process. After few more seconds, I receive an unhandled web exception that says "The network path was not found", that is called from System.Net.FileWebRequest.GetResponseCallback.

I know I can catch this one in the AppDomain.HandleUnhandledException, but is there more elegant way to catch this error?

Thanks