Catching an unhandled IOErrorEvent in Flash AS3

You must listen for the IOErrorEvent.IO_ERROR of your URLLoader object.

urlLoader.addEventListener(IOErrorEvent.IO_ERROR, loaderIOErrorHandler);
function loaderIOErrorHandler(errorEvent:IOErrorEvent):void{
    trace("ioErrorHandler: " + errorEvent);

If you trace the event object, then it should give you some information about what is going on.

if you are using a loader; try adding the eventListener to the contentLoaderInfo of the loader, e.g.

myLoader.contentLoaderInfo.addEventListener(IOErrorEvent.IO_ERROR, loaderIOErrorHandler);