For a Native C++ app see my earlier answer here: http://stackoverflow.com/questions/2911097/detect-redirect-core-dumps-when-a-software-crashes-on-windows/2911451#2911451 for catching the unhandled exception (that also gives code for creating a crash dump that you can use to analyse the crash later. If the crash is happening on a development system then in Visual Studio (I'm assuming you're using that, if not other IDEs will have something similar), in Debug/Exceptions tick the 'Thrown' box for 'Win32 Exceptions'.
Typically, Windows will give you several hexadecimal numbers as well. Chances are that the exception code will be 0xC0000005. This is the code of an Access Violation.
When that happens, you also will have three additional bits of information: the violating address, the violated address, and the type of violation (read, write or execute).
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