Wrap it in a Try…Catch structure:
var xhr = new ActiveXObject("Microsoft.XMLHTTP");
xhr.open("GET", strUrl, false, strUser, strPassword);
try {
xhr.send();
var binaryStream = new ActiveXObject("ADODB.Stream")
binaryStream.Type = 1;
binaryStream.Mode = 3;
binaryStream.Open();
binaryStream.Write(xhr.responseBody);
binaryStream.SaveToFile(Watch.GetJobFileName(),2);
binaryStream.Close();
} catch (e) {
Watch.log("Error contacting the server : "+e,2);
}