You can test to find the error vaslue and handle it accordingly

[vba]

On Error Resume Next
rngDestination = WorksheetFunction.VLookup(rngLookup, rngSource, i, 0)
MsgBox Err
If Err = 1004 Then
MsgBox "Problem"
Exit Sub
Else
On Error GoTo 0
End If

MsgBox rngDestination


[/vba]