Attach WinDbg or start your app with WinDbg and change the show time stamps parameter:
.echotimestamps 1
This will insert timestamps into the output for all events such as exceptions, thread creations etc.. see this msdn link.
I would also write a log to disk immediately once WinDbg attaches:
.logopen c:\temp\mylog.txt
to capture the output, this should achieve what you want.