It may be better that you have it in the C:\ root folder.
So first save it to C:\ if nothing else it makes it a much simpler command line ?
It may help if you post exactly what you are doing, the exact command your are typing ?
Open the command prompt window (Start->Programs->Accessories->Command Prompt) and type
C:\userdump.exe ashMaiSv.exe C:\ashMaiSv.dmp
(provided that you saved the userdump.exe to C:\). This way you would see a potential error message.
I have just downloaded the userdump.exe, tested that using Windows start run, type the command (as below) and using the suggested cmd window (see image) and both worked.
1. saved it in the c:\ folder.
2. Windows, Start, Run, this opens a small window copy and paste the "C:\userdump.exe ashMaiSv.exe C:\ashMaiSv.dmp" (without the quotes) into the window and clicked OK.
3. A cmd window popped up and executed the command and closed.
4. I checked and there was the ashMaiSv.dmp file in the c:\ folder.
If you are using the intermediate step of Run cmd as suggested by vojtech, this is done solely to keep the cmd window present to see any error as you reported (This does not work it comes up is not recognised as an internal or external command, operable program or batch file).
If you used the cmd window try changing directory/folder to C:. CD C:\ before typing the command C:\userdump.exe ashMaiSv.exe C:\ashMaiSv.dmp.