Such a crash alert cannot be a surprise for a long time Windows user. This is how Windows has been traditionally handling unexpected application crashes.
Thankfully, Windows 7 may put an end to this unhelpful way of reporting errors. Following is an example Windows 7 Crash alert:
In Windows 7, one can expect an option to cancel the non-responsive part of the application and continue working. This was conspicuously missing in all the earlier versions of Windows. This is much better than killing the entire application and offering to restart, with an option to Debug which doesn’t make sense to most of the users.
Via Windows 7 News