There are several techniques you can use.
These two have been mentioned
Using F8 and Shift-F8 to step through the program
Adding Stops (and later removing)
Others
Use a global variable to create a collection. Use it as a stack and have the subroutines you are interested in push and and pop strings. Conversely don't pop anything and you will get a trace.
Use Watches to monitor and break at selection conditions. You can setup just about any condition to break.
Make a Global String and have your procedures set when you enter them. Monitor it through a Watch.
Use Debug.Print in your code. Also Unlike Stop you can leave these in without effecting the production code.
Use the File System Object to create a text file to act as a log.
Sometimes problem only occurs in the Complied version then you need to use MsgBox or log to a text file. MsgBox can alter the behavior of complex user interactions with forms.
These are all techniques I used in debugging an application. If I had to monitor an application I would use Debug.Print. If that doesn't do the trick compile then log to a text file.
If you have something really complex going on then I recommend moving all your code out of the events into classes implementing a Command Pattern. Your commands classes should interact with the form through and interface.
In the Execute method of the command classes you will something like
<save the current state>
<Do your original code>
<save the modified state>
<push the command onto a stack>
What will happen is that you wind up with a list of all the commands you have executed (even things like mouseover) with the state they encountered and the modified state. You can then examine each object in turn to see what is happening. This is nearly the equivalent of creating Undo/Redo
Note however things like MouseOver can push a lot of classes on the command stack so you will have to structure your tests carefully or be overloaded with information. Remember you can always skip pushing the command onto the stack.
The downside of using commands is that you gone beyond debugging into redesigning. You will to decide whether the problem is worth doing this.