Debugging with .NET MSIL assemblies Visual Studio and debugging the CLR are different, I'll talk about both.
Assemblies compiled with .NET tools such as the CLR compiler are compiled into a file which contains MSIL (Microsoft Intermediate Language). At runtime the contents of the assembly are loaded into the CLR and ran as machine code. When you compile an assembly in debug a PDB file is generated alongside the DLL or EXE you've just created. The link between these 2 files is that the PDB contains the line numbers of the methods and classes as well as the file names of the original source code that created the assembly. When you launch the debugger in Visual Studio the assembly is loaded into the Debugger (similar to the CLR) along with the PDB file. The debugger now uses your PDB file contents to match the running code found in the assembly to locations in source files (hopefully in your present project).
CLR Inside Out (msdn magazine)
.NET Framework Tools: CLR Debugger