Hello,
Not too sure the exact steps that are producing this problem, but you will want to make sure that you are building a debugable executable then ensuring that the debug file is present. First check your build settings by selecting “Build->Target Settings” and making sure it says debugable. Next, rebuild your project (Build->Batch Build, find the debug and select build). Then check to make sure that in the directory of your project you have a file with a .cdb extension. If this file is not present with your exe, it could be that there is some sort of problem generating this file – such as lack of permissions necessary to generate the file or something unusual like that.
Keep us posted on how things go!