How do I implement a global exception handler?

I really like ELMAH too.  I used it for the first time in my last project, and I was very happy with it.  However it's only the logger.  It will log the exception even if you don't catch and handle the exception.  But if you want to avoid unhandled exceptions, you still have to write code to catch the exception and do something.

ELMAH is for ASP.Net.  Are you talking about an ASP.Net application, or something else?

In ASP.Net you can catch exceptions in the Global.asax file as follows.  (Written in VB.Net)

    Sub Application_Error(ByVal sender As Object, ByVal e As EventArgs)
        Try
            Dim ex As Exception = HttpContext.Current.Server.GetLastError()

            'Code to log error goes here.

            HttpContext.Current.Server.ClearError()

            'Code to redirect user to error page goes here.

        Catch ex As Exception
            'DO NOTHING ... do not want to have infinite loop
        End Try

    End Sub

This code will catch and process all exceptions which weren't caught at some earlier stage.

If you need a quick out-of-the-box solution, try Elmah (http://code.google.com/p/elmah/).  This component will log all unhandled exceptions for easy review.