Is this what you're looking for? [Full disclosure: Yes, this is my personal web site]
http://www.gowland.ca/debugging-dlls-in-c (see #2 in the list)
EDIT:
With method #1, you can't watch variables.
With method #2, step #2, if you can't open the project in the same VS instance, you can run the binary of the project (that is, run it outside of VS, but make sure you run the debug version.) and attach the VS debugger to it (Debug -> Attach to Process).
Here are the steps for method #2 so no one has to follow the link:
Attaching a using process to the DLL project This involved hooking the VS debugger into a running process.
- Open the DLL project in VS.
- Run an application that uses the DLL. This
application can't be run from
another instance of VS since the
process will already have a debugger
attached to it.
- From here you can
add break points and step through
the DLL code loaded in VS (although
the break point will appear disabled
the same as in method 1).