Would you rather your program crash, or handle runtime errors gracefully? Exceptions allow you to handle runtime errors that occur, for whatever reasons.
Try
A try block is the code that could possibly throw an exception. This will be code that could possibly fail with poor user input, or if the user decided to move files around.
Catch
The code in this block will be called when an exception of the appropriate type is thrown. This is where you handle the issue - whether by substituting a "missing texture" placeholder or gracefully informing your player that they messed it up, then closing.
Finally
This will be called only if the code in the try block does not fail. Use this to clean up any resources, or perform code that relies on the success of the code in the try block.
Throw
This is how you throw exceptions. If you're writing an XML-based settings file reader and it runs into an unknown element (say, <GiveMeAllTehCheatz Name="T3hCheatahz" />), you can use this to notify the code that's telling your reader to open this file, without returning some obscure error code that nobody cares about.
