Hey Geoffrey,
Here is what my setup is - maybe that will help:
First, I have a DotNetNuke (source version) development site set up. This is http://localhost/DotNetNuke @ c:\inetpub\wwwroot\DotNetNuke\Website
I then create a new module inside the DesktopModules folder of the website -> c:\inetpub\wwwroot\DotNetNuke\Website\DesktopModules\MyModule
In the module's project files, I set the build output to the bin directory of the website ("..\..\bin") and I set it to launch the website http://localhost/DotNetNuke when you run the project.
After you create a module definition within your DotNetNuke site, you can either run your site, or attach to process, and be debugging your module, while running your dotnetnuke site.
Hope that helps!
Take care,
Ian