How to catch the windows exception that shows a window with the name of
the executable program and a messege saying : "[Program] has encounterd
a problem and needs to close. We are sorry for the inconvenience", and
three buttons, "Debug", "Send Error Report" and "Don't Send", in a
dotnet applicacion, if its posible, of course...

Look at
Application.ThreadException and Application.SetUnhandledExceptionMode