Thanks to Phil Ottowell (I think I relearn this trick every two or three years, posting here so I have a chance to remember it):

 In VS add a breakpoint and specify the location as, for example
 
{,,compluslm.dll}DllMain
 
if you wanted to break when the compluslm.dll was loaded. For a specific function use the same syntax but specify the function name instead of DllMain.

Learn more about this syntax here:

http://msdn2.microsoft.com/en-us/library/wztycb7f.aspx