You can use the Action delegate type.
public void ErrorDBConcurrency(DBConcurrencyException e, Action method)
{
if (MessageBox.Show("You must refresh the datasource") == DialogResult.OK)
method();
}
Then you can use it like this:
void MyAction()
{
}
ErrorDBConcurrency(e, MyAction);
If you do need parameters you can use a lambda expression.
ErrorDBConcurrency(e, () => MyAction(1, 2, "Test"));