When a program on your Windows XP or Vista system crashes or becomes unresponsive, the OS will bring up an alert box asking whether it should report the crash to developers. The data it sends is composed of a memory dump at the time of the crash for use in debugging. If you choose to send Microsoft the error report, the data will be delivered to a server where it is aggregated and supplied to any involved software and hardware developers. If your issue can be identified at the time of report and a fix is already available, you'll get a link to the fix.
Does it help?
If you've hit the Send Error Report button enough without getting any response from Microsoft, you may feel like your data is going into a big black hole. This is far from the truth. Microsoft has reported that error reports helped them fix 29% of errors in Service Pack 1 and more than half of the errors in Office XP Service Pack 2.
http://www.microcenter.com/random_access/newsletters/09_newsletters/0209/toolbox_tip.html
Same goes for any OS and applications the bug reports help fix bugs