Best way to handle a KeyNotFoundException

Use Dictionary.TryGetValue instead:

Dictionary<int,string> dictionary = new Dictionary<int,string>();
int key = 0;
dictionary[key] = "Yes";

string value;
if (dictionary.TryGetValue(key, out value))
{
    Console.WriteLine("Fetched value: {0}", value);
}
else
{
    Console.WriteLine("No such key: {0}", key);
}