The WebBrowser control for .NET is just a wrapper for the IE ActiveX control. However this wrapper does not expose all the events that the IE ActiveX control exposes.

For example the ActiveX control has a NewWindow2 that you can use to intercept when a new window is gonna be created and you can even use the ppDisp variable to give a pointer to an IE ActiveX instance where you want the new window to be displayed.

So, our solution was to extend the WebBrowser control to make some of those events public.

In general the solution is the following:

1. Create a new Class for your Event that extend any of the basic EventArgs classes.
2. Add constructors and property accessor to the class
3. Look at the IE Activex info and add the  DWebBrowserEvents2 and IWebBrowser2 COM interfaces. We need them to make our hooks.
4. Create a WebBrowserExtendedEvents extending System.Runtime.InteropServices.StandardOleMarshalObject and DWebBrowserEvents2. We need this class to intercept the ActiveX events. Add methos for all the events that you want to intercept.
5. Extend the WebBrowser control overriding the CreateSink and DetachSink methods, here is where the WebBrowserExtendedEvents class is used to make the conneciton.
6. Add EventHandler for all the events.

And thats all.Here is the code. Just add it to a file like ExtendedWebBrowser.cs

using System;
using System.Windows.Forms;
using System.ComponentModel;
using System.Runtime.InteropServices;

    //First define a new EventArgs class to contain the newly exposed data
    public class NewWindow2EventArgs : CancelEventArgs
    {

        object ppDisp;

        public object PPDisp
        {
            get { return ppDisp; }
            set { ppDisp = value; }
        }


        public NewWindow2EventArgs(ref object ppDisp, ref bool cancel)
            : base()
        {
            this.ppDisp = ppDisp;
            this.Cancel = cancel;
        }
    }

    public class DocumentCompleteEventArgs : EventArgs
    {
        private object ppDisp;
        private object url;

        public object PPDisp
        {
            get { return ppDisp; }
            set { ppDisp = value; }
        }

        public object Url
        {
            get { return url; }
            set { url = value; }
        }

       public DocumentCompleteEventArgs(object ppDisp,object url)
        {
           this.ppDisp = ppDisp;
           this.url = url;

        }
    }

    public class CommandStateChangeEventArgs : EventArgs
    {
        private long command;
        private bool enable;
        public CommandStateChangeEventArgs(long command, ref bool enable)
        {
            this.command = command;
            this.enable = enable;
        }

        public long Command
        {
            get { return command; }
            set { command = value; }
        }

        public bool Enable
        {
            get { return enable; }
            set { enable = value; }
        }
    }


    //Extend the WebBrowser control
    public class ExtendedWebBrowser : WebBrowser
    {
        AxHost.ConnectionPointCookie cookie;
        WebBrowserExtendedEvents events;


        //This method will be called to give you a chance to create your own event sink
        protected override void CreateSink()
        {
            //MAKE SURE TO CALL THE BASE or the normal events won't fire
            base.CreateSink();
            events = new WebBrowserExtendedEvents(this);
            cookie = new AxHost.ConnectionPointCookie(this.ActiveXInstance, events, typeof(DWebBrowserEvents2));

        }

        public object Application
        {
            get
            {
                IWebBrowser2 axWebBrowser = this.ActiveXInstance as IWebBrowser2;
                if (axWebBrowser != null)
                {
                    return axWebBrowser.Application;
                }
                else
                    return null;
            }
        }

        protected override void DetachSink()
        {
            if (null != cookie)
            {
                cookie.Disconnect();
                cookie = null;
            }
            base.DetachSink();
        }

        //This new event will fire for the NewWindow2
        public event EventHandler<NewWindow2EventArgs> NewWindow2;

        protected void OnNewWindow2(ref object ppDisp, ref bool cancel)
        {
            EventHandler<NewWindow2EventArgs> h = NewWindow2;
            NewWindow2EventArgs args = new NewWindow2EventArgs(ref ppDisp, ref cancel);
            if (null != h)
            {
                h(this, args);
            }
            //Pass the cancellation chosen back out to the events
            //Pass the ppDisp chosen back out to the events
            cancel = args.Cancel;
            ppDisp = args.PPDisp;
        }


        //This new event will fire for the DocumentComplete
        public event EventHandler<DocumentCompleteEventArgs> DocumentComplete;

        protected void OnDocumentComplete(object ppDisp, object url)
        {
            EventHandler<DocumentCompleteEventArgs> h = DocumentComplete;
            DocumentCompleteEventArgs args = new DocumentCompleteEventArgs( ppDisp, url);
            if (null != h)
            {
                h(this, args);
            }
            //Pass the ppDisp chosen back out to the events
            ppDisp = args.PPDisp;
            //I think url is readonly
        }

        //This new event will fire for the DocumentComplete
        public event EventHandler<CommandStateChangeEventArgs> CommandStateChange;

        protected void OnCommandStateChange(long command, ref bool enable)
        {
            EventHandler<CommandStateChangeEventArgs> h = CommandStateChange;
            CommandStateChangeEventArgs args = new CommandStateChangeEventArgs(command, ref enable);
            if (null != h)
            {
                h(this, args);
            }
        }


        //This class will capture events from the WebBrowser
        public class WebBrowserExtendedEvents : System.Runtime.InteropServices.StandardOleMarshalObject, DWebBrowserEvents2
        {
            ExtendedWebBrowser _Browser;
            public WebBrowserExtendedEvents(ExtendedWebBrowser browser)
            { _Browser = browser; }

            //Implement whichever events you wish
            public void NewWindow2(ref object pDisp, ref bool cancel)
            {
                _Browser.OnNewWindow2(ref pDisp, ref cancel);
            }

            //Implement whichever events you wish
            public void DocumentComplete(object pDisp,ref object url)
            {
                _Browser.OnDocumentComplete( pDisp, url);
            }

            //Implement whichever events you wish
            public void CommandStateChange(long command, bool enable)
            {
                _Browser.OnCommandStateChange( command,  ref enable);
            }


        }
        [ComImport, Guid("34A715A0-6587-11D0-924A-0020AFC7AC4D"), InterfaceType(ComInterfaceType.InterfaceIsIDispatch), TypeLibType(TypeLibTypeFlags.FHidden)]
        public interface DWebBrowserEvents2
        {
            [DispId(0x69)]
            void CommandStateChange([In] long command, [In] bool enable);
            [DispId(0x103)]
            void DocumentComplete([In, MarshalAs(UnmanagedType.IDispatch)] object pDisp, [In] ref object URL);
            [DispId(0xfb)]
            void NewWindow2([In, Out, MarshalAs(UnmanagedType.IDispatch)] ref object pDisp, [In, Out] ref bool cancel);
        }

        [ComImport, Guid("D30C1661-CDAF-11d0-8A3E-00C04FC9E26E"), TypeLibType(TypeLibTypeFlags.FOleAutomation | TypeLibTypeFlags.FDual | TypeLibTypeFlags.FHidden)]
        public interface IWebBrowser2
        {
            [DispId(100)]
            void GoBack();
            [DispId(0x65)]
            void GoForward();
            [DispId(0x66)]
            void GoHome();
            [DispId(0x67)]
            void GoSearch();
            [DispId(0x68)]
            void Navigate([In] string Url, [In] ref object flags, [In] ref object targetFrameName, [In] ref object postData, [In] ref object headers);
            [DispId(-550)]
            void Refresh();
            [DispId(0x69)]
            void Refresh2([In] ref object level);
            [DispId(0x6a)]
            void Stop();
            [DispId(200)]
            object Application { [return: MarshalAs(UnmanagedType.IDispatch)] get; }
            [DispId(0xc9)]
            object Parent { [return: MarshalAs(UnmanagedType.IDispatch)] get; }
            [DispId(0xca)]
            object Container { [return: MarshalAs(UnmanagedType.IDispatch)] get; }
            [DispId(0xcb)]
            object Document { [return: MarshalAs(UnmanagedType.IDispatch)] get; }
            [DispId(0xcc)]
            bool TopLevelContainer { get; }
            [DispId(0xcd)]
            string Type { get; }
            [DispId(0xce)]
            int Left { get; set; }
            [DispId(0xcf)]
            int Top { get; set; }
            [DispId(0xd0)]
            int Width { get; set; }
            [DispId(0xd1)]
            int Height { get; set; }
            [DispId(210)]
            string LocationName { get; }
            [DispId(0xd3)]
            string LocationURL { get; }
            [DispId(0xd4)]
            bool Busy { get; }
            [DispId(300)]
            void Quit();
            [DispId(0x12d)]
            void ClientToWindow(out int pcx, out int pcy);
            [DispId(0x12e)]
            void PutProperty([In] string property, [In] object vtValue);
            [DispId(0x12f)]
            object GetProperty([In] string property);
            [DispId(0)]
            string Name { get; }
            [DispId(-515)]
            int HWND { get; }
            [DispId(400)]
            string FullName { get; }
            [DispId(0x191)]
            string Path { get; }
            [DispId(0x192)]
            bool Visible { get; set; }
            [DispId(0x193)]
            bool StatusBar { get; set; }
            [DispId(0x194)]
            string StatusText { get; set; }
            [DispId(0x195)]
            int ToolBar { get; set; }
            [DispId(0x196)]
            bool MenuBar { get; set; }
            [DispId(0x197)]
            bool FullScreen { get; set; }
            [DispId(500)]
            void Navigate2([In] ref object URL, [In] ref object flags, [In] ref object targetFrameName, [In] ref object postData, [In] ref object headers);
            [DispId(0x1f7)]
            void ShowBrowserBar([In] ref object pvaClsid, [In] ref object pvarShow, [In] ref object pvarSize);
            [DispId(-525)]
            WebBrowserReadyState ReadyState { get; }
            [DispId(550)]
            bool Offline { get; set; }
            [DispId(0x227)]
            bool Silent { get; set; }
            [DispId(0x228)]
            bool RegisterAsBrowser { get; set; }
            [DispId(0x229)]
            bool RegisterAsDropTarget { get; set; }
            [DispId(0x22a)]
            bool TheaterMode { get; set; }
            [DispId(0x22b)]
            bool AddressBar { get; set; }
            [DispId(0x22c)]
            bool Resizable { get; set; }
        }
   }