There are two approaches, you can code in JScript or VBScript which do have the construct or you can fudge it in your code.
Using JScript you'd use the following type of construct:
<script language="jscript" runat="server">
try {
tryStatements}
catch(exception){
catchStatements}
finally {
finallyStatements}
</script>
In your ASP code you fudge it by using on error resume next at the point you'd have a try and checking err.Number at the point of a catch like:
<%
Dim i
' Turn on error Handling
On Error Resume Next
'Code here that you want to catch errors from
' Error Handler
If Err.Number <> 0 Then
' Error Occurred / Trap it
On Error Goto 0 ' But don't let other errors hide!
' Code to cope with the error here
End If
On Error Goto 0 ' Reset error handling.
%>