Fixed.

Windows 7, Visual Studio 2010, SharePoint 2010 installed on desktop.

In Visual Studio 2010 I was not able to set a breakpoint and was shown the error no symbols have been loaded in the document.

?Fix?

Created a new project, but this time I selected to sandbox option.  Even when a breakpoint was set I would still see the error.  Set a breakpoint on my code, clicked Start Debugging (green button), and sure as SH1T, the code stopped on my breakpoint.