DLL stands for Dynamic Link Library, it is by definition not static. Also, you state below that it is a COM component, are you sure it is built with MFC classes? You also need to check that the final component was built with DEBUG on so that the debugger can match the object code with the source file. You could test this further by setting a breakpoint in the VB code at the point where it calls one of the C++ functions and see if you can single step into the DLL.
One of these days I'm going to think of a really clever signature.