In the VB6 IDE that you are using for your ActiveX EXE (or DLL), under Project->Project Properties, on the Debugging Tab, you can choose "Start Program" and enter the calling program. It doesn't attach to an existing instance, but does allow you to debug.
Alternatively you can choose "Wait for components to be created", "Run" your exe in debug and then manually start the calling app. VB6 replaces registry entries for the component to point to the debugger, but only after you have started the debugger, so it is essentially the same as option 1.
