You need to resume following that specific error, and your error handler has no previous exit method.
Try this (untested air code)
Code:
Private Sub Command469_Click()
Dim filename As String
Dim Filepath As String
Dim CName As String
On Error GoTo err_chk
CName = Forms![ContractorsDBForm]![Text442]
filename = Me.DocumentsName & ".pdf"
Filepath = DLookup("[ContractorPath]", "querysetup") & CName & DLookup("[expr1]", "querysetup") & CName & " " & filename
If Dir(Filepath) = "" Then
MsgBox "Document not found, or is not in PDF format"
Else
Application.FollowHyperlink Filepath
End If
ExitCommand469_Click:
Exit Sub
err_chk:
If Err.Number = 16388 Then
MsgBox "THIS DOCUMENT DOES NOT EXIST"
Resume ExitCommand469_Click
Else
MsgBox Err.Number & ": " & Err.Description
End If
End Sub