I am using a third-party DLL. For some particular cases, a function in the DLL is throwing an exception. Is it possible to debug the DLL in the Visual Studio?
After
If the DLL is in a .NET language, you can decompile it using a tool like .NET Reflector and then debug against the source code.
Or you could ask the vendor if source code is available. That's probably the easiest way.
Building on Andrew's answer, you just treat the decompiled source code as a new library within your project and set breakpoints in the source. Remove all references to the 3rd party DLL so that it is the decompiled code that is executing.
Other things: