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When launching LoadRunner for the first time on a Windows XP or 2003 machine, VUGen may record no events and then complain that the Data Execution Prevention Service closed iexplore.exe.
In this case, go to Control Panel -> System -> Advanced -> Performance -> Settings -> Data Execution Prevention -> and select “Turn on DEP for essential windows programs and services only.”
Now reboot your computer/server.
It’s been a while since I used LoadRunner, as you can probably tell. Win2K desktops and XP machines before SP2 didn’t have this problem.
Update: You can actually just add iexplore.exe to the ignore list and you won’t need to reboot your machine. This is useful if, like in my case, you’re recording on a server which is shared by many RDP users or you don’t have permission to reboot it.