I have my DotNetNuke configuration setup as listed in this post.  I believe this works with the standard installation guidelines (outlined here) .

I normally set the “Property Pages” of the web project to look like the following.  You can get here by right clicking the web project, and selecting “Property Pages”.

To begin debugging, select “Debug > Attach to Process” from Visual Studio 2008.  Check the boxes labeled “Show processes from all users” and “Show processes in all sessions”.  Once listed, you may select w3wp.exe and select “attach”.  (note:  I believe if you are using IIS6 (Server 2003, XP) then it would be aspnet_wp.exe).

Once done, you will be able to put breakpoints in your project and step through the source code.