What are PDBs? Where must they be located for debugging to work?

Answer1:
To debug precompiled components such as business objects and code-behind modules, you need to generate debug symbols. To do this, compile the components with the debug flags by using either Visual Studio .NET or a command line compiler such as Csc.exe (for Microsoft Visual C# .NET) or Vbc.exe (for Microsoft Visual Visual Basic .NET).

Using Visual Studio .NET
1. Open the ASP.NET Web Application project in Visual Studio .NET.
2. Right-click the project in the Solution Explorer and click Properties.
3. In the Properties dialog box, click the Configuration Properties folder.
4. In the left pane, select Build.
5. Set Generate Debugging Information to true.
6. Close the Properties dialog box.
7. Right-click the project and click Build to compile the project and generate symbols (.pdb files).

Answer2:
A program database (PDB) file holds debugging and project state information that allows incremental linking of a Debug configuration of your program.
The linker creates project.PDB, which contains debug information for the project’s EXE file. The project.PDB contains full debug information, including function prototypes, not just the type information found in VCx0.PDB. Both PDB files allow incremental updates.
They should be located at bin\Debug directory
Source: http://winfx.msdn.microsoft.com/library/default.asp? url=/library/en-us/dv_vsdebug/html/1761c84e-8c2c-4632-9649-b5f99964ed3f.asp