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A great weblog on Microsoft Advanced Windows Debugging and Troubleshooting by hardcores of Microsoft’s CPR team. Escalation Engineers from Microsoft’s Platform Critical Problem Resolution (CPR) team has been so kind enough to share their knowledge on advance debugging.
There are a lot of debugging techniques discuss here along with detail info up to the very detail of what’s really going on when Windows boot and lots more. To get started, they recommend a hefty list of tools:

The following tools are part of the “Debugging Tools for Windows” – you’ll definitely need these

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

• windbg
• cdb
• ntsd
• tlist
• gflags
• adplus
• UMDH
• symcheck

Sysinternals provides some great tools that we’ll be discussing

http://www.sysinternals.com

• Process Explorer
• Process Monitor
• Regmon
• Filemon
• DbgView
• Handle.exe
• Tcpview
• LiveKD
• AutoRuns
• WinObj

There are many tools contained in “MPS Reports” (MPSRPT_SETUPPerf.EXE), but I’m listing it here specifically for Checksym

http://www.microsoft.com/downloads/details.aspx?FamilyID=CEBF3C7C-7CA5-408F-88B7-F9C79B7306C0&displaylang=en

• Checksym

“Windows Server 2003 Resource Kit Tools” is another great set of tools. In particular Kernrate is a part of that package

http://www.microsoft.com/downloads/details.aspx?displaylang=en&familyid=9D467A69-57FF-4AE7-96EE-B18C4790CFFD

• Kernrate

Windows XP SP2 Support Tools

http://www.microsoft.com/downloads/details.aspx?FamilyID=49AE8576-9BB9-4126-9761-BA8011FABF38&displaylang=en

• netcap
• poolmon
• memsnap
• tracefmt
• tracelog
• tracepdb
• depends
• pstat

“Visual Studio “ – in addition to the compilers and IDE, the following tools come in handy:

• SPY++
• dumpbin

Perfwiz (Performance Monitor Wizard)

http://www.microsoft.com/downloads/details.aspx?FamilyID=31fccd98-c3a1-4644-9622-faa046d69214&DisplayLang=en

DebugDiag

http://www.iis.net/handlers/895/ItemPermaLink.ashx

Userdump (User Mode Process Dumper)

http://www.microsoft.com/downloads/details.aspx?FamilyID=E089CA41-6A87-40C8-BF69-28AC08570B7E&displaylang=en

Dheapmon (Desktop Heap Monitor)

http://www.microsoft.com/downloads/details.aspx?familyid=5CFC9B74-97AA-4510-B4B9-B2DC98C8ED8B&displaylang=en

Netmon 3.0

1. Go to http://connect.microsoft.com/
2. Sign in with your passport account
3. Choose “Available Connections” on the left
4. Choose “Apply for Network Monitor 3.0” (once you’ve finished with the application, the selection appears in your “My Participation” page)
5. Go to the Downloads page (On the left side), and select the appropriate build 32 or 64 bit build.

Some articles you may find useful:

Debugging Tools and Symbols: Getting Started

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

Boot Parameters to Enable Debugging

http://msdn2.microsoft.com/en-us/library/ms791527.aspx

How to Generate a Memory Dump File When a Server Stops Responding (Hangs)

http://support.microsoft.com/kb/303021/