The following approach was described in the Visual FoxPro forum. Basically, it's a question of intercepting the browser before it navigates and recognizing a specific URL.

    Private Sub WebBrowserErrorBeforeNavigate2(ByVal sender As System.Object, _
     ByVal e As AxSHDocVw.DWebBrowserEvents2_BeforeNavigate2Event) Handles WebBrowserError.BeforeNavigate2
        Dim lcUrl As String
        Dim lnOperation As Integer
        Dim lcLast As String
        Dim lnPrimaryKey As Integer
        lcUrl = e.uRL
        lcLast = Mid(lcUrl, lcUrl.LastIndexOf("\") + 2)
        If lcLast.StartsWith("LX") Then
            e.cancel = True
            lnOperation = Val(Mid(lcLast, 3, 1))
            lnPrimaryKey = Val(Mid(lcLast, 4))
            If lnOperation = 1 Then
                Dim loForm As New ErrorDetail
                loForm.ShowDialog()
            End If
            If lnOperation = 2 Then
            End If
        End If
    End Sub