You never mentioned any specifics of your setup. Are you using the Source or the Starter kit site? Are getting any specific errors etc. I'll throw out a couple of thoughts for now, but it's hard to just "guess" what is wrong. :)

There shouldn't be anything you need to change. VS should prompt you to change web.config for debuging, and then it should work. You may need to set default.aspx as the startup page.

However, DNN 4.01 should be setup to run using IIS and not the built in web server as some of the core team have mentioned that this causes some eratic behaviour.

Thats about all I can think of for now.

Setup specifics?

I'm using VS2005 and DNN 4.01.  I downloaded the source for the base product.  For custom modules, I downloaded the C# kit that integrates with VS2005 when creating a new module.  (My coding is done in C#, not VB.)  When I run the debugger from VS2005, I'm setting breakpoints and starting the program with the debugger - just like I do with my home-grown ASP.Net C# code.

From the web.config file: 

<compilation debug="true" strict="false">

<customErrors mode="RemoteOnly"/>

Any other clues?