Are you using 2 instances of Visual Studio?
You can only debug a process (exe) from one debugger as far as I know.
So, basically, there are a few things you can do.
1) Run both projects in the same VS instance. Open one VS instance, open the
EXE project, right-click on the solution in solution explorer, and click Add
Existing Project, and select the DLL project. Now you have the EXE and DLL
project loaded in one solution. Make sure you add the reference in the EXE
project (add project reference). This is the easiest way.
2) Debug the EXE project alone. Open one VS instance and load the EXE
project. Make sure it has a reference to the DLL. Click File->Open->File,
and open the vb file for DLL you want to set the breakpoint in. Now the file
is open in VS, but it doesn't show in solution explorer. If the DLL was
compiled in debug mode and has a valid PDB, you can set breakpoints in the
file and run the project to debug.
3) Debug the DLL project alone. Write a container EXE that references and
uses the DLL. Open one VS instance and load the DLL project. Go to Windows
file explorer and double-click the EXE to run it. Go back VS and click
Debug->Processes, and Attach to the running EXE. Now you can apply
breakpoints in the code and when the EXE gets to those parts of the code, it
will break for you.
-Rob Teixeira