C# windows service question

Question

I am a web developer who has not worked with windows development for many years.  I suddenly have to change a windows service.  

 

The windows service reads EDI files.  I want to check for the existence of a row in a SQL table at the beginning of the code.  If the row does not exist, then I want to stop processing the current EDI file and move on to the next file.  I already have the code to check for the existence of the row.  My question is:  Is there an easy way to end processing of this file and move on the next file?