Hi,
In addition to what was suggested by Robert:
Try/Catch keyword operations, likewise the same operators of programming/scripting languages, handle execution runtime exceptions like division by zero, stack overflow, etc. Extra window displayed on the screen is not an exception and thus it is not handled by try/catch.
Extra windows in TestComplete can be handled using one of two ways:
a) Do explicit check if an extra window is displayed on the screen using .WaitWindow()/.WaitAliasChild() methods. If the window is found, handle it appropriately;
b) If an extra window is modal one (i.e. it prevents access to all other UI elements of the tested application until the window is closed -- this is your case, according to test log), then you may create a handler of the OnUnexpectedWindow event and handle displayed window within this handler.