Rab,
You have an UpdateProgress control on your page, right? It sounds like that's what is catching your exception and rethrowing it in an alert window.
As for the rest, it sounds as if the code in your catch block is throwing the unhandled exception. Even though you have a try catch block for the first call, if your catch block is simply trying to call the rss feed again, and this fails again, you will end up with an unhandled exception that bubbles up to the UpdateProgress control. You'll need to refactor your code -- for a quick fix, you can try putting another try - catch block inside your catch block, and then swallow the exception if it fails on the second attempt.
James