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.