It depends; if this.Close() can throw an exception, then it still needs to be declared as being thrown, or caught. Often times this is wrapped up in a small utility method.
It's not mandatory to use a catch, you can simply try/finally.
Regarding return values: methods that exit due to an exception don't have a return value.
Exceptions should encapsulate enough information to either:
allow the caller to do something useful with the exception, e.g., retry the operation, or
assist the developer in understanding the problem and lead him/her to a resolution.
I'd encourage you to follow standard Java naming conventions to avoid confusing readers of your code: non-final variables should begin with a lower-case letter. Method names should also begin with lower-case letters.
Also, you do not need to preface methods (or variables) with this when there is no need to disambiguate the property you're accessing.