I have dragged a dataset onto the stage and names it dsThroughput. In the
first fram I then put the following actionscript:

try {
dsThroughput.loadFromSharedObj("phil");
}
catch(errObject:mx.data.components.datasetclasses.DataSetError) {
trace("Unable to load shared object.");
}

according to the documentation, this should work, but no matter what I do I
cant catch the error. There is definitely no shared object called "phil"!.

Any help would be greatly appreciated.

You need to initialize the shared object and store data in it before you can
call on it with the loadFromSharedObj method.

Something like:

// Create shared object
phil= SharedObject.getLocal("foo");
phil.data.this = variable;
phil.data.that = variable2'

//load shared object into dataset
dsThroughput.loadFromSharedObj("phil");

Hope that helps!
/david