<p>Our WinForms application has been reported to occasionally just close on its own.  It neither shows our own crash error submit dialog nor Windows' error submit dialog, it just closes and is gone, often when the person was afk and not doing anything with the application.  It seems to be a semi-rare occurrence, maybe like 2-3 times a month, and it's happened to more than one person.  I have no idea where to start with getting a repro case or where to begin tracking this down.</p>

<p>C#
.NET 2.0
Reported cases are on Win XP</p>

<p>Anyone have any ideas?</p>

Exceptions will cause an app to "disappear". Check the Event logs to see if anything was there.
Check task manager to see if the process is still present when the window disappears. I have had explorer crash and fail to redraw the window until it was Alt-Tabbed or Switched-To (from task manager).
Dont put it past the users to conveniently forget they are closing the app. You may want to put some logging logic in the app to log user initiated closures. Next time it "disappears" you can check for any log entries.