>I have some Try/Catch syntaxes which allows me to print in the Messages window some specific message when an error happens. But, in that message, I also need to print the exact error. How can I obtain that at that level?

It's covered in BOL. Excerpt:

ERROR_NUMBER() returns the number of the error.
ERROR_SEVERITY() returns the severity.
ERROR_STATE() returns the error state number.
ERROR_PROCEDURE() returns the name of the stored procedure or trigger where the error occurred.
ERROR_LINE() returns the line number inside the routine that caused the error.
ERROR_MESSAGE() returns the complete text of the error message. The text includes the values supplied for any substitutable parameters, such as lengths, object names, or times.