Code:
#include <dbghelp.h>
#include <shellapi.h>
#include <shlobj.h>

int GenerateDump(EXCEPTION_POINTERS* pExceptionPointers)
{
    BOOL bMiniDumpSuccessful;
    WCHAR szPath[MAX_PATH]; 
    WCHAR szFileName[MAX_PATH]; 
    WCHAR* szAppName = L"AppName";
    WCHAR* szVersion = L"v1.0";
    DWORD dwBufferSize = MAX_PATH;
    HANDLE hDumpFile;
    SYSTEMTIME stLocalTime;
    MINIDUMP_EXCEPTION_INFORMATION ExpParam;

    GetLocalTime( &stLocalTime );
    GetTempPath( dwBufferSize, szPath );

    StringCchPrintf( szFileName, MAX_PATH, L"%s%s", szPath, szAppName );
    CreateDirectory( szFileName, NULL );

    StringCchPrintf( szFileName, MAX_PATH, L"%s%s\\%s-%04d%02d%02d-%02d%02d%02d-%ld-%ld.dmp", 
               szPath, szAppName, szVersion, 
               stLocalTime.wYear, stLocalTime.wMonth, stLocalTime.wDay, 
               stLocalTime.wHour, stLocalTime.wMinute, stLocalTime.wSecond, 
               GetCurrentProcessId(), GetCurrentThreadId());
    hDumpFile = CreateFile(szFileName, GENERIC_READ|GENERIC_WRITE, 
                FILE_SHARE_WRITE|FILE_SHARE_READ, 0, CREATE_ALWAYS, 0, 0);

    ExpParam.ThreadId = GetCurrentThreadId();
    ExpParam.ExceptionPointers = pExceptionPointers;
    ExpParam.ClientPointers = TRUE;

    bMiniDumpSuccessful = MiniDumpWriteDump(GetCurrentProcess(), GetCurrentProcessId(), 
                    hDumpFile, MiniDumpWithDataSegs, &ExpParam, NULL, NULL);

    return EXCEPTION_EXECUTE_HANDLER;
}


void SomeFunction()
{
    __try
    {
        int *pBadPtr = NULL;
        *pBadPtr = 0;
    }
    __except(GenerateDump(GetExceptionInformation()))
    {
    }
}