You can debug dll in MTS,
if you are using VB6, you have to open dll's project and run it(Press F5) then go to the VB application and run that application, you can go to the step by step debug mode.
(If you are using NT4, have to add service pack 4, in case of Windows2000 you dont have to add anything)
VB5 also supports that but you have to add some registry key that I dont remember now.
Another way is to add log file.