This is a simple Orchestration to catch Nack's. Nack's are Negative Acknowledgements returned from failed BizTalk messages. This Orchestration can be modified to react to specific exceptions as needed.
This sample should work in BizTalk 2004 and BizTalk 2006.
Get more information from the original blog post on this topic: http://www.biztalkgurus.com/biztalk_server/biztalk_blogs/b/biztalk/archive/2005/05/26/nack-message-processing-orchestration-for-biztalk-server-2004.aspx