Hi all. In this minute I got an email from Microsoft linking to a post of an MS employee. He created a client add-in for the Microsoft Problem Step Recorder for NAV.
I downloaded, installed and tried it. I LIKE! 
Thank you, WHO EVER was developing this. I recommend it to NAV customers and partners!
Because of I don’t want to create the feeling I am the author of this tool – I AM NOT
Here is the link to the MS Blog.
Download Client Addin NAV 2009 Microsoft Problem Step Recorder
http://blogs.msdn.com/b/german_nav_developer/archive/2011/05/11/rtc-client-add-in-f-252-r-den-microsoft-problem-steps-recorder.aspx
(it is German – if you need assistance let me know)
General Problem Step Recorder Overview
http://technet.microsoft.com/en-us/windows/dd320286.aspx
Thank YOU for sharing this!
Regards,
Rene
PS: After installation “like it is” you have to create a directory “PSR” on your drive c: