So you or one of your users is getting an error in CRM and the error message doesn't give you any useful detail of what may be going wrong... where to next? Before you jump into any forum or send any email with that useful "contact your system administrator" screenshot, try to gather a bit more information... it may be the case that you can figure out the issue yourself :) The question then is, how do you get more detailed information?
1.- Look at the Event Viewer of Windows
2.- Enable tracing as described here: http://support.microsoft.com/kb/907490
3.- Enable dev errors as described here (it says 3.0 but most of the concepts still apply to 4.0): http://msdn.microsoft.com/en-us/library/aa681367.aspx
4.- If troubleshooting the email router, take a look at: http://blogs.msdn.com/benlec/archive/2008/07/02/crm-4-0-e-mail-connector-logger-tool.aspx (Thanks Philippe Brissaud for pointing it out).
You will probably find that 99% of the time you can figure out the error yourself or at least you will be providing enough information upfront so that people can help you out more effectively.