XNA Game Studio 4.0 and PIX for Windows have an unfortunate incompatibility. If you take a PIX capture of a GS4 app using default PIX settings, you will get this error:
Target Program Unexpected Exit
The program 'foo.exe' exited unexpectedly while PIX was analyzing it.
To work around this,you must disable D3DX analysis in PIX:
The problem occurs because PIX does not support some crazy tricks that GS4 uses to optimize state management. We hope to get this fixed in a future version of PIX, but don't yet know for sure if/when that will happen, so for now you will have to make do with the above workaround.
My apologies for the inconvenience!