The procedure that you have mentioned for debugging unmanaged C++ dll from C# application, works in the DESKTOP(Windows, .NET framework) but if we are doing it in WinCE 5.0 (.NET compact framework 2.0), the breakpoint in the unmanaged dll is not getting enabled
Moreover, if you are developing C# application for desktop(.NET), then an option is available in the following location:-
Project Property-> "Debug" tab->Enable debuggers->enable unmanaged code debugging.
However, this option is not atall available for C# embedded applications.