If you click Deny, Outlook raises an error. Therefore, your code should handle that exception.

If you're getting an exception a try...catch block is the way to go to avoid
an unhandled exception.

You don't say what versions of Outlook you are supporting or anything else
much about where and how the code is running, so it's hard to say anything
else. But I'd be looking to avoid the security prompts completely and avoid
that whole situation instead of leaving it to the user to handle the
security prompt.

See http://www.outlookcode.com/article.aspx?id=52 for information on
avoiding the security entirely.