Вы можете попробовать
BEGIN TRY
...
BEGIN TRY
select
*
from
OPENROWSET (...)
END TRY
BEGIN CATCH
IF ERROR_NUMBER() <> 7399 --have to experiment to get the right error number
RAISERRROR (stuff about real error, 16, 1)
ELSE
RAISERRROR ('No file!', 16, 1)
END CATCH
...
END TRY
BEGIN CATCH
--normal error handling
END CATCH