How to Analyse a Running Process?

ProcDumpt: http://technet.microsoft.com/en-us/sysinternals/dd996900.aspx

DebugDiag: http://www.microsoft.com/downloads/en/details.aspx?FamilyID=28bd5941-c458-46f1-b24d-f60151d875a3&displaylang=en

WinDbg:

http://www.microsoft.com/whdc/devtools/debugging/default.mspx

http://en.wikipedia.org/wiki/WinDbg

Automatically Capturing a Dump When a Process Crashes: http://blogs.msdn.com/b/clrteam/archive/2009/10/15/automatically-capturing-a-dump-when-a-process-crashes.aspx