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
Possible causes come to mind.
The last one in particular results in immediate failure of the application.
The stack overflow - you may get a notification of this, but unlikely.
Drop into the debugger, change all exception notifications to "stop always" rather than "stop if not handled" then do what you do to cause the program failure. The debugger will stop if you get an exception and you can decide if this is the exception you are looking for.