I have a Windows application written in C++ that occasionally evaporates. I use the word evaporate because there is nothing left behind: no \"we\'re sorry\" message from Window
If you are using Visual Studio 2003 or later, you should enable the debuggers "First Chance Exception" handler feature by turning on ALL the Debug Exception Break options found under the Debug Menu | Exceptions Dialog. Turn on EVERY option before starting the debug build of the process within the debugger.
By default most of these First Chance Exception handlers in the debugger are turned off, so if Windows or your code throws an exception, the debugger expects your application to handle it.
The First Chance Exception system allows debuggers to intercept EVERY possible exception thrown by the Process and/or System.
http://support.microsoft.com/kb/105675