When my application crashed, Windows XP did not generate the window given below

I configured the Just In Time (JIT) debugger as given below.Windows generated the above window when some other applications crashed.
What could be the problems?
Is there any mechanisms to know whether an application exited normally or crashed?
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\AeDebug]
"Auto"="0"
"Debugger"="C:\NeST\DebuggingTools\Debugging Tools for Windows (x86)\ntsd.exe -p %ld -e %ld -g -noio -c ".dump /ma /u c:\dumps\jit.dmp; q"
"UserDebuggerHotKey"=dword:00000000
I don’t know why this hasn’t worked for you, but you can launch your app using adPlus. You’re then not dependent on some global registry settings, and have more control about the monitoring.