The message is saying that the code is failing and the exception generated hasn't been handled.
So I recommend that you put in a try
catch
around the location where you call the webservice for data and simply display a message box with the exception text. And/or put a breakpoint in the location of where the silverlight application calls the webservice. Run the debugger. See what value comes back and how its handled.
Hence I whole-heartedly recommend that you put in try catches in your code and to also handle any future failures and report them appropriately; for this won't be the only exception your code will generate.