How to capture the dumps when the application crash on launching ?

Two ways you can achieve this,

#1) Using Procdump

>procdump.exe -w -e -ma SomeCrashingApp.exe
[This command used to wait for the exe to appear, crash to gather the dumps ]

If you are capturing .NET 4.0 dump, then this won’t triggered, you may have to specify -e 1 to gather the dump for later framework.
>procdump.exe -w -e 1 -ma somecrashing.exe
If it is older version of .NET then you could use this.
>procdump.exe -w -e -ma somecrashing.exe

#2) Using DebugDiag