I ended up with writing a C# helper class:

using System.Net;

using WatiN.Core;

using SHDocVw;

using Microsoft.VisualStudio.TestTools.UnitTesting;

using System.Globalization;

namespace Test

{

    public class NavigationObserver

    {

        private HttpStatusCode _statusCode;

        public NavigationObserver(IE ie)

        {

            InternetExplorer internetExplorer = (InternetExplorer)ie.InternetExplorer;

            internetExplorer.NavigateError += new DWebBrowserEvents2_NavigateErrorEventHandler(IeNavigateError);

        }

        public void ShouldHave(HttpStatusCode expectedStatusCode)

        {

            if (!_statusCode.Equals(expectedStatusCode))

            {

                Assert.Fail(string.Format(CultureInfo.InvariantCulture, "Wrong status code. Expected {0}, but was {1}",

                    expectedStatusCode, _statusCode));

            }

        }

        private void IeNavigateError(object pDisp, ref object URL, ref object Frame, ref object StatusCode, ref bool Cancel)

        {

            _statusCode = (HttpStatusCode)StatusCode;

        }

    }

}

Note that I use Visual Studio test runner to run my web tests. Then, I can use this in my test:

using (IE ie = new IE())

{

    NavigationObserver observer = new NavigationObserver(ie);

    ie.GoTo("http://some.where.com");

    observer.ShouldHave(HttpStatusCode.NotFound);

}