I launch my program in C#, which then calls some unmanaged C++.
When I break on a line in the unmanaged C++, the \'New Data Breakpoint\' menu item is grayed out.
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The suggested solution doesn't work all the time. Even when debugging in Native mode, with the program broken in Native piece of code, when trying to set a 'New Data Breakpoint' I get a popup "The breakpoint cannot be set. Data breakpoints are not supported in the Common Language Runtime"
The alternative is to add data breakpoints from code directly. See the article here.
This works well in mixed-mode, it only requires Native debugging mode to be active (as suggested above)