How do I step through the source code of a DLL that is loaded on the fly?

Question

How do I step through the source code of a DLL that is loaded on the fly?
I have a SLN that was automatically created by loading a BIN file into Visual Studio 2008.  It uses a command line interface feature and on this command line, I can give a command to load a DLL.  The DLL I load has been built from source code.  So I should be able to step through this source code.
Do I need to somehow load mdb or somehow tell the Integrated Development Environment how to handle the source code?  Currently, I cannot put any breakpoints in the source code.