Make sure you 'Rebuild' to ensure your binaries are fresh before you start the debug session. If you get build errors, you will need to fix the code or project settings.
[Added] Make sure you're building and debugging a Debug build configuration. A Release build usually won't include debug information.
If you have VC 6 available, you could instead install VC6 and Daffodil, then set the project's Platform Target to v60. This way you're building with VC6 build tools, thus minimizing the need for code changes.