Windows/DOS: double clicking a .py file

[Just]

Sorry if this is a Windows FAQ, I'm a newbie to Windows, but not to 
Python.

If I double-click a Python script (or use the start command in the dos 
prompt) a new dos prompt window is opened and my program is run. The 
window goes away when the program is done. However, the window _also_ 
goes away when the program raises an exception, making it virtually 
impossible to actually _see_ the exception... Is there a way to keep the 
dos prompt window in this case?

A py2exe-fied version of the program shows the same behavior, which 
leads my users to report problems like "the output file is mysteriously 
truncated" instead of "I'm getting a traceback. Here, have a look."...

Any suggestions?

This is with Python 2.2.1 on Windows 98, but a report like above came 
also froma WinXP user.

Just