There is a bug in Visual Studio 2003 that sometimes makes setting a breakpoint in certain files impossible. When you try to set it, the breakpoint is set, but not in the file that you opened - the moment you hit F9, VS jumps to another file and sets the breakpoint there.
I struggled with this problem for quite a long time. I tried using the mouse instead hitting F9, setting the breakpoint on different lines, reopening the file, reloading the project, restarting VS, using another machine. Nothing helped.
Finally, I discovered that I could open a Breakpoints window (Crtl+Alt+B), press New button and create a new Function Breakpoint - a breakpoint of this type was created successfully.
Note that you can copy the full name of a function from the Class View window.