Can you please clarify your question by telling us what Visual COBOL product version you are using, (Visual Studio or Eclipse) and how you are running the application? (within the IDE or outside of the IDE).
Also, are these managed code applications (.NET or JVM) or native applications?
If you are within the IDE you should be able to debug from the calling program into the called program without a problem.
If you are running outside of the IDE, from the command line and you wish the debugger to start on a specific program then you can place a CALL "CBL_DEBUGBREAK" statement in the desired program and the debugger will start when the program is entered.
There are many other methods of starting the debugger so I really need some additional details as to what it is exactly that you are wishing to do...
Thanks.