First from help:
To be able to debug an executable it must contain debug information; see Compiler project options, Assembler project options, and Linker project options.
There is an add-in sample in the Add-In SDK, available from the download page, that helps you automate the task of switching between a debug build (with debug information), and a release build (without debug information).
So install Add-Ins if it isn't installed.
Select from menu Tools -> Customize
From Add-Ins tab select Switch between debug build, release and profile build Add-In
Or from menu Project -> Project options...
Compiler tab: Debug information: full
Linker tab: Debug information: CodeView & COFF format
Then compile project.
Then use F9 function key to set breakpoint
Run program with F5 function key