try...catch can be implemented with C's setjmp / longjmp combination ;-)

It's probably something like this:

try
  push global catch struct on stack
  set new catch address in the struct
  set current stack pointer in the struct
  ...
  if error throw
    jump to the catch address in the struct
  ...
  pop catch struct from stack
catch
  recall stack pointer from struct
  pop catch struct from stack

And if you have no automatic garbage collection (C/C++) you can easily create memory leaks on the heap too.