The first question would be HOW have you set up your development environment - and what type of module are you trying to debug?

Is the module a WAP based module or a WSP based module?

Westa

Firstly,  for what its worth - if you are new to dnn and module development , I would strongly recommend doing your early development using the WSP development approach.

The WSP approach offers an extremely fast debug cycle - the reason for which is that there is no need for the web server application to restart at the beginning of each debug cycle. This means you can effectively do test cycle development with web forms. 

By which i mean -  change a line of code - test/debug almost instantly - without the lag while you wait for your module to re-compile and the web server application to do a full restart - something that happens every time you debug a WAP application - since the action of doing a WAP compile causes the bin folder contents to change ( which automatically causes the web server application restart).

But regardless - back to WAP debugging - when you create a WAP module the most common way to debug is using the ATTACH to PROCESS option. 

Basically, change your WAP module to debug mode - then using the DEBUG->Attach to Process menu option and attach to your local development website's running application process.  For windows 7 this process will be w3wp.exe.

Westa