This has been a pain to me in Visual Studio 2005. I finally Googled it and found that VS2005 has been crippled in many ways when it comes to debugging classic ASP pages. One recommendation I saw was to use VS2003, which had more or easier debugging for classic ASP. I can't say if this is true or not since I have never used VS2003 to debug classic ASP pages.
One thing I found that some say can make it easier in VS2005 is listed below:
IIS Manager -> Rt Click Web Sites -> Properties -> Home Directory -> Configuration -> Debugging -> Enable ASP Server-Side script
Another thing I found was that some talked of attaching to the IIS ASP process (w3wp.exe). I was not able to get this to work, but I only tried for a couple of minutes.