Dynamic Link Library(DLL)

The urls in Solution #1 are good (+5 to Krunal). Another solution that I depend on is unit testing. This technique works especially well on DLLs that do not have UI code in them. My favorite unit testing framework for C++/MFC (as you have flagged) is CppUnit[^].

How to: Debug DLLs [^]
How To Debug a Dynamic-Link Library (DLL) in Windows[^]

NHook - A .NET debugger API for x86[^]
Windows Debuggers: Part 1: A WinDbg Tutorial[^]