In the Load you can write something like this:

local llSuccess && Defaults to .f.
local loException

TRY
	* Your Load code
	llSuccess = .t.
CATCH to loException
	* Show error message
ENDTRY

RETURN llSuccess

And your code to call it:

loWindow = newobject( 'viafrm_viajob', 'viajob.vcx' )
if vartype(loWindow) = 'O'
	loWindow.refresh()
	loWindow.show()
	loWindow.refresh()
	read events
endif

[Update]
Removed the array reference to loWindow as I do not understand why you used it, and not sure why you call refresh() twice
>Hi All,
>
>I instantiate a form:
>
>

glFormInitOK = .T.
>loWindow = newobject( 'viafrm_viajob', 'viajob.vcx' )
>if m.glFormInitOK
>	loWindow[ m.ln ].refresh()
>	loWindow[ m.ln ].show()
>	loWindow[ m.ln ].refresh()
>	read events
>endif

>
>To test my error handling I have created an erroneous line in the LOAD that will invoke the Error Event. I offer the user the option to retry, ignore or abort. When abort is chosen I set m.glFormInitOK to False and try RETURN TO MASTER.
>
>However, after execution of the RETURN TO MASTER command it continues with the code in the Init method of at least several objects, causing additional errors handled by the same Error Event. Only after several of those additional handliings it quits the form instantiation phase.
>
>I have tried several alternative commands to end the creation of the form. None appears to prevent the execution of the code in the Init methods.
>
>I try to avoid using ExitProcess().
>
>What am I doing wrong?