Well, you have to use multiple try-catch if you want that information:

try
{
    sSrNo = Convert.ToString(valueArrayCustomerDetails[row, 1]);
}
catch (Exception ex)
{
    MessageBox.Show(ex.ToString() + "\n Error At :- Row-" + row + " 1"); 
    throw;
} 

try
{
    sNotice_No = (string)valueArrayCustomerDetails[row, 2];
}
catch (Exception ex)
{
    MessageBox.Show(ex.ToString() + "\n Error At :- Row-" + row + " 2"); 
    throw;
}

// ...

Another option is to create a helper method like this:

public static class Utils
{
    public static T TryDo<T>(Func<T> returnMethod, Action<Exception> exceptionAction = null, bool throwOnException = true, T fallbackValue = default(T))
    {
        try
        {
            return returnMethod();
        }catch(Exception ex)
        {
            exceptionAction(ex);
            if(throwOnException)
            {
                throw;
            }
        }
        
        return fallbackValue;
    }
}

Now you can use this concise and readable code:

sSrNo = Utils.TryDo(() => Convert.ToString(valueArrayCustomerDetails[row, 1]), ex => MessageBox.Show(GetMessage(ex, row, 1)));
sNotice_No = Utils.TryDo(() => Convert.ToString(valueArrayCustomerDetails[row, 2]), ex => MessageBox.Show(GetMessage(ex, row, 2)));
dt_notice_date = Utils.TryDo(() => Convert.ToDateTime(valueArrayCustomerDetails[row, 3]), ex => MessageBox.Show(GetMessage(ex, row, 3)));
sAgreement_No = Utils.TryDo(() => Convert.ToString(valueArrayCustomerDetails[row, 4]), ex => MessageBox.Show(GetMessage(ex, row, 4)));
sBorrower = Utils.TryDo(() => Convert.ToString(valueArrayCustomerDetails[row, 5]), ex => MessageBox.Show(GetMessage(ex, row, 5)));

// local method
string GetMessage(Exception ex, int row, int col) 
    => $"{ex.ToString()} Error At :- Row-{row} Column-{col}";

string index="1";
try
{
    sSrNo = Convert.ToString(valueArrayCustomerDetails[row, 1]);
index="2";
sNotice_No = (string)valueArrayCustomerDetails[row, 2];
index="3";
dt_notice_date = 
Convert.ToDateTime(valueArrayCustomerDetails[row, 3]);
index="4";
sAgreement_No = 
Convert.ToString(valueArrayCustomerDetails[row, 4]);
index="5";
sBorrower = (string)valueArrayCustomerDetails[row, 5];
}
catch (Exception ex)
{
MessageBox.Show(ex.ToString() + "\n Error At :- Row-" + row + " 
Column-"+index); // here i want variable name at which error occurs
throw;
}

Try using this:

It will give the line number at which the exception is thrown thus getting the variable.

catch(Exception ex)
{
var LineNumber = new StackTrace(ex, true).GetFrame(0).GetFileLineNumber();

MessageBox.Show(ex.StackTrace + "\n Error at :- Row-" + LineNumber);
}

ex.StackTrace gives detailed error message.