You can raise an error by throwing one- here's a quick example:

<script>
        function myError(sender, args) {
            alert("error! " + args.get_message());
        }
    </script>

<input type="button" value="do callback" onclick="myCallback.callback();" />
        <ComponentArt:CallBack runat="server" OnCallback="myCallback_Callback" ID="myCallback">
           <Content>
                <asp:TextBox runat="server" ID="txt"></asp:TextBox>
           </Content>
           <ClientEvents>
            <CallbackError EventHandler="myError" />
           </ClientEvents>
        </ComponentArt:CallBack>

  protected void myCallback_Callback(object sender, ComponentArt.Web.UI.CallBackEventArgs e)
    {
           throw new NotImplementedException("this isn't done yet");
    }