What dlls are you trying to debug? You can certainly debug your own code with Express so it's far from usless.
Hi
I see what the problem is now. There's a couple of things you could try, though I've not got a copy of VS Express on my machine to test these on. First is to start Arc and then in VS go to Tools->Attach to process. Select the ArcDesktop process and click Attach. This should then allow you to debug the dll.
The other thing to try is to manually edit the vbproj file (or it might be the vbproj.user file if you've got one). You need to add the lines in the bold below:
<PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
<StartAction>Program</StartAction>
<StartProgram>C:\Program Files\ArcGIS\Bin\Arcmap.exe</StartProgram>
</PropertyGroup>
You'll probably need to do this in a few places in the file. Then hopefully VS Express will be able to pick this up and start Arc when you start debugging. You can also add the following line if you want to add arguments
<StartArguments>C:\MyFolder\MyFile.mxd</StartArguments>
Hope these work for you. There might well other (better) ways to do this though.
Regards
"If you are using the Visual C# Express Edition or Visual Basic Express Edition, you cannot debug DLLs because these versions do not have the option to start an external application for debugging."