Did You:
1) Run the program in debug mode such that VS auto-attaches to the process as it loads?
or
2) Attach manually to the ASP.NET worker process that is already running via Debug..Attach to Process ?
3) Did you set debug="true" in the <compilation> element of the web.config, ie:
<compilation defaultLanguage="c#" debug="true">
4) If it is a client-side jscript breakpoint, did you enable script debugging in Tools..Internet Options..Advanced..uncheck both of the "Disabled Script Debugging" checkboxes ?
Post the answers to these and then can follow up with more help