You can do this only from VB6, because compiled control does not include debug information.
If you had created this control: Start VB6 and open ActiveX control project of the control. Add to it Standard exe project. Set exe project to be StartUp project (right-click project file into Project Explorer and choose "Set as Start-Up"). Add instance of your control to the form of exe project and add code, which call methods you want to debug. You can set breakpoint anywhere into standard exe project code and/or ActiveX control project and VB will stop on them.