Вам нужно включить неуправляемую отладку, она не включена по умолчанию в любом сценарии, потому что ваша основная программа управляется.
You do it in your C# project with Project > Properties > Debug tab > tick the "Enable unmanaged code debugging" checkbox.
You do it with Tools > Attach to Process by clicking the Select button. Choose the "Debug these code types" radio button and tick both Managed and Native. You may have to resort to only native if your process is 64-bit.
Set a breakpoint in the DLL's source code and be sure to write C# code that exercises the DLL function. If you still have trouble getting a breakpoint then use Debug > Windows > Modules and verify that you see the DLL in the module list. Get additional troubleshooting info by right-clicking it, select Symbol Load Information. Which shows a trace of where the debugger looked for the PDB file.