You open the game's dll from the filesystem
But once you're there and debug is running, you open the Modules window from Debug -> Windows, and locate your mod's assembly. It won't have the original .dll name
The game loads them in like this:
One of those data-NNNNNNNNN files would be your mod's assembly, double clicking them gives you the assembly name from the DLL
For example:
Then you can set breakpoints inside that assembly, it would appear in the sidebar.
If you already have the DLL from the filesystem loaded, you will get duplicate search results for symbols. But you can tell which is the filesystem one and which is the actually loaded one by hovering over the search result entry:
