Hello Pradeep,
For an exception caught, you can do some action (if required) and then add message to lt_message.
You need to maintain the message in a message class (based on the exception)
example - "Communication Error."
data : ls_msg TYPE fpmgb_s_t100_message.
try.
catch zex_comm_err into lo_err.
ls_msg-msgid = message class.
ls_msg-msgno = message number.
ls_msg-severity = type of message (E, I, S etc..)
APPEND ls_msg TO lt_message.
et_message = lt_message.
endtry.