There is a known bug:

BUG: The BeforeNavigate2 Event of the WebBrowser Control Does Not Fire If Hosted in a Visual Basic .NET Application (Article ID: 311298)

BUG: The BeforeNavigate2 Event of WebBrowser Control Does Not Fire If Hosted in a Visual C# .NET Application (Article ID: 325079)

If you are using the second solution from our FAQ "How can I host a WebBrowser control in a Windows Form" you will not have this problem but if you use the automatically generated wrapper classes see the following solution:

The problem of the BeforeNavigate2 event not firing in C# applications has been floating around various groups for several months. Microsoft has not yet fixed the problem, although it is documented in the knowledge base. Until they do provide a fix, I suggest the following workaround to the problem which uses the fact the the old Webbrowser_V1 BeforeNavigate event can be caught. Note, use of this interface is deprecated, however since there doesn't appear to be any chance of a fix any time soon.

// define the webbrowser object
private AxSHDocVw.AxWebBrowser axDocument;

// define an IE3 compatible webbrowser object.
private SHDocVw.WebBrowser_V1 axDocumentV1;

public Form1()
{
  //...
  object o = null;
  axDocument.Navigate("about:blank", ref o, ref o, ref o, ref o);
  object oOcx = axDocument.GetOcx();
  try
  {
    axDocumentV1 = oOcx as WebBrowser_V1;
    axDocumentV1.BeforeNavigate +=
      new SHDocVw.DWebBrowserEvents_BeforeNavigateEventHandler(
        axDocumentV1_BeforeNavigate );
  }
  catch ( Exception ex )
  {
    // ignore errors. If it doesn't work, there's not a lot to do!
    Console.WriteLine( "Add BeforeNavigate event handler failed with{0}.",
      ex.Message);
  }
  //...
}

private void axDocumentV1_BeforeNavigate( string URL, int Flags,
  string TargetFrameName, ref object PostData, string Headers, ref bool Processed )
{
  Console.WriteLine( "BeforeNavigateURL= {0}", URL );
  //false= allow navigate to continue.
  //true= cancel navigation.
  Processed = false;
}

George Shepherd, Syncfusion, and John Cullen