1) Project | Options | Linker Include Remote Debug symbols->ON
2) Tools | Debugger Options | Enable COM Cross Process support->ON
(this option does not exist in all Delphi editions)
3) When you are debugging and want to set a breakpoint, do a
File | Open and browse to and open the file that is the directory
that holds the source that you want to debug. (don't use the .dsk
files open of the source). This seems to help maybe by setting the
current directory to the source directory.