This is not about the presence of your DLL module itself. You need to create and enable debug information (in particular, PDB, please see below), which may require rebuild of you module with different (debug) options. You can learn Visual C++ documentation on debug information and appropriate version, but one simple way is to use the predefined configuration "Debug" which, by default, provides support of all debug features. Again, it should be provided for your DLL module in question, not just for the module(s) using that library module. In principle, it's possible that the options, by some reason were modified for "Debug" configuration to disable some debug information. The configuration is just the configuration, something designed to group many options and properties of the project together, the properties themselves can be anything, so the mere name "Debug" does not guarantee the debugging.
If you have no source code for this module and no *.pdb file (
program database file, which carry symbols needed for debugging) for it, there is nothing you can do except debugging without symbols, which is not effective.
For more detail, please see:
http://support.microsoft.com/kb/291585[
^].
—SA