I'm using VB 2010 (and have VB 2008 still...), and they already have a Try-Catch-Finally snippet, short is "trycf"[tab]. Don't know about your VB 2005, but it is possible to add custom snippets also.
try[enter] is not a snippet by the way, it is just automatic statement completion (check off Options>Text Editor>VB>'automatic insertion of end constructs' and you'll soon miss that ).
If you need a Finally block then by all means do so but, since the addition of the Using statement, an exception handler with a Finally block is the exception rather than the rule. If I recall correctly, VB 2005 added the Using statement.
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