Clients that want to process warnings or informational messages sent by the server should create an System.Data.OleDb.OleDbInfoMessageEventHandler delegate to listen to this event.
The OleDbConnection.InfoMessage event occurs when a message with low severity is returned from the data source. Low severity messages are those that do not cause an exception. For Microsoft SQL Server, this includes error messages that have a severity of 10 or less
For more information and an example, see Working with Connection Events.