SQL Server TRY CATCH FINALLY

While not exactly the same as FINALLY, the T-SQL version of Try-Catch does allow that code that needs execute after both the Try and Catch blocks can occur after the end of the END CATCH statement.
Using the question code as an example:

    BEGIN TRY
      CREATE TABLE #temp
       (
         --columns
       )
      --Process data with other data sets
    END TRY
    BEGIN CATCH
    EXECUTE usp_getErrorMessage
    END CATCH;

IF OBJECT_ID('tempdb..#temp') IS NOT NULL -- Check for table existence
    DROP TABLE #temp;

The DROP TABLE command will execute whether the Try or Catch execute.
See: BOL Try…Catch