my $a;

eval
{
    my $vk = mp3vk_api->new
    (
        login    => 'mail@mail.com', 
        password => 'passwd',
        dir      => 'Rhapsody',
        threads  => '10',
    );

    if (ref($vk) eq 'mp3vk_api')
    {
        my $out = $vk->search('Rhapsody');

        if (ref $out)
        {
            my $a = $vk->vk_download($out);
        }
        else
        {
            # handle possible search failure
            # throw an exception
        }
    }
    else
    {
        # handle constructor failure
        # throw an exception
    }
};

if ($@)
{
    # catch all exceptions and handle those which haven't been handled already
}
else
{
    # use $a normally
}