where to put try catch block!

[C# Programming]

hi

a function called Save() saves user input to database

should i write try catch block like this

private void Save()
{
try {
//My code goes here
}
catch (SqlException sqlEx)
{
MessageBox.Show(sqlEx.Message);
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
}

or should i write it like this in the function or event handler that calls Save();

try {
Save();
}
catch (SqlException sqlEx)
{
MessageBox.Show(sqlEx.Message);
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}

and what is the difference, if there was a difference
and which is a better coding practice

thanks