Exception Handling in biztalk orchestrations is done through scopes: Add a new scope, put any shapes that might throw an exception in it and then right click on the scope and select the "Add new Exception Handler Block" option to add a Catch() to the scope. You can then use the properties of the exception handling block to select the kind of exception you want to handle.
It's pretty similar to setting a try{} catch {} block in C#, really.