Placing a breakpoint can be dangerous. In some code sections, like drawing a menu, Windows doesn’t like to be interrupted. The debugger will stop your application, but your app will remain on-screen and Alt+Tab and all other options of changing the current application are blocked.
Except, if you’re using Windows 7.
For some reason the 3d-flipping mode with Win+Tab still works. And allows you to switch to the debugger.