I've just started playing with plugins on VS2002 (even more ancient than your version). I didn't realise there _was_ a development version of Mach3! Doesn't seem to ne around anymore tho 8^(
However, I can still debug my own plugin dlls by starting the release version of mach3 and then going to VS, debug->processes, then selecting the Mach3 process. Setting a breakpoint on Update () in machdevice.cpp then drops me into the debugger. Does this help or am I telling you something you already know?