Ok, there are 2 options:
1) Either you can add a call to "madExcept.HandleException()", to instruct madExcept to handle this exception. Doing so with default settings will open the madExcept exception box, though, so you should modify the settings to hide the box. You should probably do that, in any case. You can do that by switching the bottom right combobox on the following settings tab to "display's show anything":
Plus, uncheck "show please wait box" here:
Finally, if you choose this option, you should probably configure the path where the bug report is stored. You can do that here:
Or you can do it at runtime by doing something like "madExcept.MESettings().BugReportFile := 'c:\somePath\bugReport.txt';".
2) Alternatively, you could call "madExcept.CreateBugReport(etNormal)". This is a function exported by madExcept which will return a full bug report to you as an AnsiString. You could then store it to a file yourself, if you like.