Is your addin registered? If not then it can't actually run in SolidWorks, and hence no breakpoint will ever be hit. This is one cause of that warning. If that's not the issue, try deleting the bin folder and rebuilding.
If your addin is registered properly then you should be able to see it in Tools-->Addins within SolidWorks. Mousing over the listing should show the correct DLL path.
I finally solved my problem. I tried a lot of manipulations to do it so I am not sure what was the problem, but I think that the problem was that the build dll was registered instead of the debug dll.