If you are using in add-in, the easiest way is to listen to the
EnvDTE.Commands.BeforeExecute event for the Debug.Start command. Here
is some C# add-in code that will do this:

private DTE dte;
private CommandEvents commandEvents;

public void OnConnection(object application, ext_ConnectMode
connectMode, object addInInst, ref Array custom)
{
 dte = (DTE)application;
 commandEvents =
dte.Events.get_CommandEvents("{5EFC7975-14BC-11CF-9B2B-00AA00573819}",
295); // Debug.Start command...
 commandEvents.BeforeExecute += new
_dispCommandEvents_BeforeExecuteEventHandler(ehBeforeDebugStart);
}
public void OnDisconnection(ext_DisconnectMode disconnectMode, ref
Array custom)
{
 commandEvents.BeforeExecute -= new
_dispCommandEvents_BeforeExecuteEventHandler(ehBeforeDebugStart);
 commandEvents = null;
 dte = null;
}

private void ehBeforeDebugStart(string Guid, int ID, object CustomIn,
object CustomOut, ref bool CancelDefault)
{
 // Do stuff here before Debug.Start executes...
}