How does the try catch finally block work?

Yes, the finally block gets run whether there is an exception or not.

Try
    [ tryStatements ]
    [ Exit Try ]
[ Catch [ exception [ As type ] ] [ When expression ]
    [ catchStatements ]
    [ Exit Try ] ]
[ Catch ... ]
[ Finally
    [ finallyStatements ] ] --RUN ALWAYS
End Try

See: http://msdn.microsoft.com/en-us/library/fk6t46tz%28v=vs.80%29.aspx