The question is how threaded is your application. Debugging a highly threaded application in visual studio may cause some performance problems while debugging.
First, you should make sure that your main thread is bullet proof and won't finish before you finish debugging the other threads you wish to debug.
It is also important to notice that if a certain code runs on a couple of different threads (not shared, but a couple of threads perform the same operation using the same code) it will be very tricky to debug it since the breakpoint is set on a specific code and not on a specific thread.
I would try and use a little "printf" debugging and write things to the log (with the thread id, of course).
In addition to that, what is the exception you are seeing?