Hi,
From your description, I understand that Visual Studio debugger automatically detach from IE.
What is your project type? If we create a simple test application, does it have the same issue?
You can try to use Visual Studio debugger to attach to it and debug it. For more information, see How to: Attach to a Running Process (http://msdn.microsoft.com/en-us/library/c6wf8e4z.aspx).
If you are using IE 8, please refer to http://social.microsoft.com/Forums/en-US/vsdebug/thread/e2c795cd-b7a0-4fad-b7c9-b1ca40d7302e
I look forward to hearing from you.