I've personally had bad luck with that with DBPro. Easier with DarkGDK/C++ and probably DarkGD.NET also...but that doesn't help you.
What might, is making a function you can call that will dump "text" to a text file(appending it) from anywhere in your program - and do things like send out variable values, names, whatever hints are appropriate - right before you call a function or something you think suspect will explode. also another below that to say like "FunctionDrawCarFinished" etc...
I know its time consuming - and when you get past a problem - you need to go back and comment out all those calls to the "log" file - but this might be your best bet.
I also do in-game stuff - like write something to the screen - a sync - then a waitkey - I know it's knarly - but it can help in a pinch. In short - I only fight stuff so long before I try another way... that's what I'm eluding to. I never had results "Stepping through" dbpro - so I made a way to ALMOST do it - via print statements and (error) log file.
Good Luck! .... WAIT - I'm in a DarkGDK forum - duh!
You might need to go this route - but... What editor are you using to write your code in? VC2005 Express? VC2005? VC2003(hope not), VC2008? VC2008Express?
Sometimes - if you don't make your project initially as "multi-threaded" and Windows Console I think is what you tell it - it might not know the right entry point. For example - I can just hit f5 in my vc2005express - and step through code - no prompts etc - THOUGH this only works "well" in windowed mode - not full screen. I save "fullscreen" until I KNOW the code is running fine and I want to see it in it full (no task bar - and faster) glory.
TRY making a new project - as winconsole, multi-threaded app - also be sure your "RELEASE" and "DEBUG" config info is correct - like recommneded on the forums here - I think a sticky thread about installing/using GDK.
