You can make use of following code:
webBrowser1.Url = new Uri( "http://SomeRandomUrl");
((SHDocVw.WebBrowser)webBrowser1.ActiveXInstance).NavigateError += new SHDocVw.DWebBrowserEvents2_NavigateErrorEventHandler(Form1_NavigateError);
.
.
.
void Form1_NavigateError(object pDisp, ref object URL, ref object Frame, ref object StatusCode, ref bool Cancel)
{
int currentStatusCode = (int)StatusCode;
}
Make sure to add reference to Microsoft Internet Controls dll from COM tab.