Yes! See http://www.theproblemsolver.nl/aspdevelopmentanddebugging/index.htm although he has updated this with code that works with XP too(here is the latest version: http://www.theproblemsolver.nl/download.htm#Debugging%20COM%20servers%20under%20XP). I use the first version in ActiveVFP 2.11 and the latest version(that works with both 2000 and XP) with ActiveVFP 3. It's a simple 3 step process to set up after you've set your break point processing:
1.) Re-compile your VFP mtdll, as is, into a COM Exe
2.) CD to the directory where the COM server lives
3.) Run the main.prg(in the original source) or WebAppDebug.prg in ActiveVFP..

>hello *.*
>
>I have a system using SQL SERVER, a VFP dll as middle tier, and ASP as interface.
>
>I need to stop the dll process when an error occurs and debug step by step it to find the problem.
>
>I need to do something like "set step on". Can I do it with a VFP DLL? How can I do something as a "set step on"?
>
>Thanks in advance