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WebBrowser (MSIE) - Capture JS Errors using Exec of IOleCommandTarget
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
    <head>
        <meta http-equiv="Content-Type" content="text/html; charset=utf-8" />
        <title>TEST SCRIPT</title>
    </head><body>
        <script type="text/javascript">
            document.body.style.background='yellow';
            setTimeout(function(){
                document.body.style.background='red';
                causeERROR(); // purposefully undefined function
                document.body.style.background='green';
            },500);
        </script>
    </body>
</html>

type
  TNulWBContainer = class(TWebBrowser, IUnknown, IOleClientSite,
                          IDocHostUIHandler, IDispatch, IOleCommandTarget)
  protected
    { OTHER STUFF }
    {IOleCommandTarget Interface}
    function QueryStatus(CmdGroup: PGUID; cCmds: Cardinal;
      prgCmds: POleCmd; CmdText: POleCmdText): HResult; stdcall;
    function Exec(CmdGroup: PGUID; nCmdID, nCmdexecopt: DWORD;
      const vaIn: OleVariant; var vaOut: OleVariant): HResult; stdcall;
    end;

implementation

{ OTHER STUFF }

function TNulWBContainer.QueryStatus(CmdGroup: PGUID; cCmds: Cardinal;
  prgCmds: POleCmd; CmdText: POleCmdText): HResult; stdcall;
begin
  prgCmds.cmdf := OLECMDF_ENABLED;
  Result := S_OK; //inherited QueryStatus(CmdGroup,cCmds,prgCmds,CmdText);
end;

function TNulWBContainer.Exec(CmdGroup: PGUID; nCmdID, nCmdexecopt: DWORD;
  const vaIn: OleVariant; var vaOut: OleVariant): HResult; stdcall;
begin
  ShowMessage('nCmdID=$'+IntToHex(nCmdID,8));
  Result:=OLECMDERR_E_UNKNOWNGROUP;
end;

end.

uses Registry;

// ...

  with TRegistry.Create do
    try
      RootKey:=HKEY_CURRENT_USER;
      if OpenKey('SoftwareMicrosoftInternet ExplorerMain',False) then begin
        WriteString('DisableScriptDebuggerIE','no');
        WriteString('Disable Script Debugger','yes');
        CloseKey;
      end;
    finally
      Free;
    end;

// ...