>I have a solution with multiple projects in it. How do I do exception handling so that all exceptions from any project in the solution are handled in one place?

I do as Viv suggested in the last part of the post. I try to catch all exceptions and then raise an error event in the component project. The application level can subscribe to that event and log it in the application log. I have several component projects that work with different applications and I typically just raise an event in the component and log it in the appliation along with other activity the application needs to deal with based on the error.
Tim