VS.NET can be used to debug a compiled VB6 project. There's no way you can debug a p-code compiled project. Unfortunately, the whole problem is that VB6 does not put proper symbol information into the compiled PDB file, so you can step the lines of your program, but you won't see any parameters or locals.
You can debug locally by first compiling VB6 project. In VS.NET, execute a File -> Open Solution and open the compiled EXE as the solution. Open the file with the code you want to debug and set a breakpoint. Press F5 and you'll be prompted to save the solution file. Save the solution. If the debugger was able to find the symbols, you hit the breakpoint (see the Modules window if symbols were loaded.)
This was first published in August 2003