Global exception handler in Win Forms and Smart Client

I always wondered if it is possible to add a global exception handler for a Win Form application. This global exception handler would handle all exceptions that have not been caught in the UI forms. In web forms, we have the onError event handler in Global.asax, but I was not sure if Windows forms had a similar functionality. 

I got the answer from Rich Newman's blog here:

http://richnewman.wordpress.com/2007/04/08/top-level-exception-handling-in-windows-forms-applications-part-1/

Another option I had tried out was using the Policy Injection Block to capture all unhandled exceptions. But the caveat here is that all objects need to be proxied, which may be tedious to do.