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This functionality depends on the dbghelp.dll file shipped with recent Windows versions. The version of that file must be 5.1 (native with Windows XP) or higher (as shipped with Windows 2003 and Vista). The dbghelp.dll file shipped with Windows 2000 won't work, but you can copy the file from a XP-machine or download it from the Internet. It must be copied to the SQLyog installation folder and this copy (and not the native version) will then be used by the system with SQLyog.