If your application crashes before Application.Run is called and the process enters the main loop then try..catch blocks will not catch the exception, nor will the Application.ThreadException event.
What you need to do in this case is run the application and redirect the stdout/stderr to a file and read the information.
S:\>AppName.exe >> debug.txt 2>&1
After the application crashes out then take a look at debug.txt and you will have much more useful information.
sknake
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