How do I debug a VFP DLL?

I start the main application with the debuger and use
set step on in a particular piece of code of interest.

So I try to Step Into a line of code calling the VFP DLL Procedure
But the debugger doesn't go.

Also I was hoping if I put set step on in the DLL the debugger would jump
open like a usually do..

Is there something I'm missing?