What do you want to do? It depends entirely on your application.

You could have it retry, you could display a message box to the screen, write to a log, the possibilities are endless.

As a developer, you can't predict every possible error. It's a good idea to have a generic catch code in even if you don't know how to fix the error. You could be saving to a database, and one of 50 database errors might occur, and you won't be able to write code to handle every single one.

You should put a generic catch in to make sure your program doesn't simply crash, and in some cases simply displaying the error and letting them have another go is enough. Imagine if the cause was 'disk is full'. You could merely print out the exception, and let the user try again - they'd know what to do, and solve the problem themselves.

This is why I disagree with the comment about not handling it if you don't know what to do. You should always handle it, even if it is just to display a message box saying 'Error' because it's infinitely better than "This program has performed an illegal operation and will be closed."