The Debug engine sample available at http://code.msdn.microsoft.com/debugenginesample has been updated for VS 2010. Changes include porting to use Microsoft.VisualStudio.Debugger.InteropA.dll as the primary PIA, updating registration to load in VS 2010 and implementing a few new interfaces for VS 2010.
NOTE: All debug engines implemented in managed code must switch to using Microsoft.VisualStudio.Debugger.InteropA.dll as the pia for AD7. This is an unfortunate side-effect of adding managed code to the debugger UI. The problem is the com interfaces defined in old pia (Microsoft.VisualStudio.Debugger.Interop.dll) are treated as different types by the CLR then those defined in InteropA. The end result is the debugger UI will no longer be able to talk to engines that use the old deprecated PIA.