Is there a way for application to debug itself?

This has to be possible. I can think out a few ideas in my mind right now, but it's kind of hard to word them out without confusing people. The first api that I'd try for this is CreateProcess with the debug creation flag set. Your app could do a IsDebuggerPresent to detect that the app is debugging itself and continue on with the real code.

There are also disassembler engines availabe that you could use to disasm your code on the fly in memory. Create a thread disasm a section of your code, copy over line by line, but inbetween the lines insert a call to your debug function to grab the registers and things.

Maybe you didn't understand me. I need e.g. to create 2 threads in my application to first thread debug second thread. Without any other running copy of my application or any debuggers. Maybe i need to go deeper to the problem? In my application the code executed may do things that aren't allowed by windows e.g. accessing memory not belonging to my application or trying to interrupt (int ...). And to catch all this operations (well, exactly - all instructions that operate with memory) i want to use debugging. Any other suggestions?

IMHO, you need so called "structured exception handling". There was some tutorials out there...search for them.

Regards.

I always used the api, SetUnhandledExceptionFilter for possible errors like that.

If you are looking for SEH, http://www.jorgon.freeserve.co.uk/ExceptFrame.htm