Sorry for the late reply (internet connection lost for some time). When you debug this way, it launches the VC2005 Express IDE with its integrated debugger. You can then debug as if the program had been developed there. It would be preferrable to have the MS debugger integrated in C::B of course, but I think this is an acceptable work-around if C::B integration is not possible.
You can do the exact same thing in VC6, there is no difference really. In both cases you have to drop the source files into the IDE (because there is no source file project) to set breakpoints etc. We are simply using a standard feature of the VS debuggers here
If you start with an empty VS (no workspace/project open):
in VC6: Build | Start Debug | Attach to process...
in VC2005 Express: Tools | Attach to Process ...
All we are doing is to use this feature via C::B Tools menu and VS command line options. Full source debugging is available as normal, you just have to open some files explicitely to set breakpoints.
On Linux I use GCC and the integrated C::B debugger. What I miss there is to be able to set the keyboard shortcuts the way I am used to with the VS debugger, especially
F10 : Step over
F11 : Step Into
Shift+F11: Step out
I find myself trying to use these all the time on Linux and it doesn't work :-)