Your ProcExit label is your place where you release all the resources whether an error happened or not. For instance:
Public Sub SubA()
On Error Goto ProcError
Connection.Open
Open File for Writing
SomePreciousResource.GrabIt
ProcExit:
Connection.Close
Connection = Nothing
Close File
SomePreciousResource.Release
Exit Sub
ProcError:
MsgBox Err.Description
Resume ProcExit
End Sub