Well, IE 8 has a feature called Loosely-Coupled Internet Explorer (LCIE) which results in IE running across multiple processes.
http://www.microsoft.com/windows/internet-explorer/beta/readiness/developers-existing.aspx#lcie
Older versions of the Visual Studio Debugger get confused by this and cannot figure out how to attach to the correct process.
To overcome this issue, you need to disable the process growth feature of LCIE by follow the below steps:
1) Open RegEdit
2) Browse to HKEY_LOCALMACHINE -> SOFTWARE -> Microsoft -> Internet Explorer -> Main
3) Add a dword under this key called TabProcGrowth
4) Set TabProcGrowth to 0
If you run into the same problem on Vista or newer, you will also need to turn off protected mode
