When debugging ActiveX controls, you may notice that event handlers don't run to completion. This is caused by exceptions which are quietly suppressed.
Most exceptions are quietly suppressed. You can control this using the debugger exceptions settings (accessed using the Debug, Exceptions menu command). On the Exceptions dialog, highlight the Common Language Runtime Exceptions and select it using the check box (VS 2005) or select "Break into the debugger" (VS.NET 2003, both entries).