If you are doing interop debugging (managed+native debugging), I strongly recommend that you have symbols for mscorwks.dll. Interop debugging requires the debugger to walk the stack through stubs from mscorwks.dll, and without symbols, the debugger is going to get this wrong.
To download symbols for mscorwks.pdb:
For Visual Studio 2003:
See this KB article.
For Visual Studio 2005:
- Create a new directory to cache symbols
- Go to Tools->Options->Debugging->Symbols
- Add http://msdl.microsoft.com/download/symbols to the search path
- Set the cache directory
One last note: symbols are big and can be slow to download. So you might want to download the symbols once, and then only load symbols from your symbol cache. To do this in Visual Studio 2005, simply uncheck http://msdl.microsoft.com/download/symbols from Tools->Options->Debugging->Symbols. For Visual Studio 2003, you need to remove the ‘*http://msdl.microsoft.com/download/symbols’ from the end of your symbol path.