I am looking for some Microsoft API that whould have the same capabilities for monitoring .NET applications as JVMTI has for Java applications. For example, I'd like to be able to see every method call and the time it took (I am able to do that on my Java applications with JVMTI). Thank you for your help.
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It sounds like you want the Profiling API. It's a complicated business, and one I haven't gone into myself before now, but that link should be a good starting point.
Of course, there are existing profilers can use too - I've mostly used dotTrace personally.

Jon Skeet
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Thanks, that's what i was looking for! I have to trigger specific actions when some events happens, so I can't use a commercial profiler for this job, I must write it myself... – Max Aug 18 '11 at 08:12