Sometimes when I run my program, it comes up an Error DialogBox that says.

"Unhandled Exception"

In this messagebox, there is info about something called JIT Debugging.
It also says that it is possible to Turn JIT-Debugging off so some system file on the computer will take care of this Exception rather then this DialogBox.

How is this possible to do ?

JIT Debugging is an abbreviation for just-in-time debugging. all that it does is allow a debugger to be attched to a process which was not running under a debugger so far.
see http://msdn2.microsoft.com/en-us/library/ms679295(VS.85).aspx

> some system file on the computer will take care of this Exception.
no one will take care of this exception if you turn jit debugging off. your program will be terminated and a diagnostic dump of the state of the process at the time it was terminated would be generated. if you have enabled a minidump (or a full dump) to be generated, you can later do a post-mortem debug with WinDbg or (somewhat limited) Visual Studio.
http://msdn2.microsoft.com/en-us/library/bb204861.aspx