you need to issue the ON ERROR statement before issuing the
command that causes the error.

LOCAL An_Access_Error_Occurred

...

ON ERROR An_Access_Error_Occurred = .T.  && catches all errors, but
                                         && exclusivity is probable error
An_Access_Error_Occurred = .F.
SELECT 0
USE (my_file_spec) ALIAS my_alias EXCLUSIVE

ON ERROR                   && reset to default error handler

IF ( An_Access_Error_Occurred = .T. )
  =MESSAGEBOX ( 'Cannot open file exclusively' , 0 , 'FILE ACCESS ERROR' )
ENDIF