You don't have to use VS6. You can use VS 2003 or VS 2005 which support mixed debugging and stepping through interop. Right-click on the Web site node in the solution explorer, choose Properties and then Start Options. Check 'Native code' in addition to the ASP.NET debugger. This way you should be able to step into the C++ code directly from ASP.NET code.

Question: why you are not using VS 2003/2005 C++? You can add C++ project to the same solution as the Web site and consume C++ project outputs in the Web site bin folder.