How to create minidump for my process when it crashes?

You need to programatically create a minidump (with one exception, see next link). CodeProject has a nice article on MiniDumps. Basically, you want to use dbghelp.dll, and use the function MiniDumpWriteDump() (see MSDN on MiniDumpWriteDump).

How effective such dumps are depends very much on the application. Sometimes, for optimized binaries, they are practically useless. Also, without experience, heap/stack corruption bugs will lead you astray.

However, if the optimizer was not too hard on you, there is a large class of errors where the dumps do help, namely all the bugs where having a stack-trace + values of the locally used variables is useful, i.e. many pure-virtual-function call things (i.e. wrong destruction order), access violations (uninitialized accessed or missing NULL checks), etc.

BTW, if your maintenance policy somehow allows it, port your application from VC6 to something acceptable, like VC8 or 9. You'll do yourself a big favor.

I found an excellent article on debugInfo.com This is worth to read:

effective minidumps, now staled, so see archived version on Wayback Machine.

We use Google Breakpad in Firefox, although that requires at least Visual C++ 2003. The nice side benefit is that it also supports OS X and Linux.

I realise this is an old question, but in terms of system settings (first dot point of the OP), you can enable a setting to use Windows Error Reporting's built-in auto-crash dump generation. This is documented here: https://docs.microsoft.com/en-us/windows/win32/wer/collecting-user-mode-dumps. As this requires elevation, this is best set either manually (provided you're an admin) or at your application's install time. I don't recommend setting it at runtime if your app otherwise does not require elevation.

Essentially, you create create a new key under HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\Windows Error Reporting\LocalDumps\<app_name.exe> and customise the options there. The nice thing about this is that the crash dumps are automatically generated, and you can can control where they're stored, the type and what info is included, and how many dumps are retained.

This is probably the easiest method of generating and managing user mode crash dumps on Windows.