In the feedback to "The InfoPath 2003 SP1 Preview", Laurent Kempé writes "I downloaded since a while, really cool, except that I can't attach the debugger."
Here's a work around to consider:
One of the common problems that prevents the debugger to attach is the existence of a .NET Framework newer than 1.1, for example the Whidbey Preview. InfoPath host will use the latest runtime but VS.NET 2003 can’t debug on it. One workaround against this problem is to enforce loading version 1.1 of the CLR runtime. This can be done by creating an InfoPath.exe.config file in the setup directory and specifying there the supported runtime version, something like:
<supportedRuntime version=”v1.1.4322” />