Martijn Hoogendoorn provides a description of how to avoid the message:-
"An error message is available for this exception but cannot be displayed because these messages are optional and are not currently installed on this device. Please install ‘NETCFv35.Messages.EN.wm.cab’ for Windows Mobile 5.0 and above or ‘NETCFv35.Messages.EN.cab’ for other platforms. Restart the application to see the message."
Even if you have installed the cab file with message resources. A useful link:-
http://blogs.msdn.com/martijnh/archive/2008/01/03/fixing-exception-messages-on-the-net-compact-framework-3-5.aspx