With Visual Studio 2005 you can use the vsjitdebugger.exe and managed code. Here is the registry entry.
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Image File Execution Options\ServiceHost.exe]
"debugger"="vsjitdebugger.exe"
Replace ServiceHost.exe in the reg entry with the name of your executable. You no longer have to edit the environment path variable.