There are some special considerations when you want to debug an application that you created using the Microsoft Foundation Classes (MFC) for Windows CE.
To run and debug an application you created with MFC for Windows CE, you must first copy the mfcce20d.dll file to the windows directory on the targeted device. Mfcce20d.dll is located in the Devstudio\Wce\Lib\Wce200\target directory, where target is the directory that corresponds to your application's target platform, for example, wcemips.
In order to be able to step into the Microsoft Foundation Classes (MFC) source files when you are debugging in an emulated environment, you must copy the mfcce20d.dll and mfcce20d.pdb files into the windows directory on the targeted device.
When you debug the MFC application, the system will ask for the location of mfcce20.dll. Select "browse" and point the browser at the mfcce20.dll file on the target device.