You have come across one of the many joys of developing using the ASP server that comes with Windows CE. There is usually no way to do live debugging, so you are pretty much using the alert or DEBUGMSG statements from the COM component.
The only exception, and it’s not so simple, is if you created your own OS image and you have a BSP with KITL enabled. In this case, you can create an OS with a debug version of the web server in it, deploy the OS from Platform Builder, connect using KITL and set breakpoints in the server code. You can then use them to move on to parsing your own ASP page. This is a complete headache.
Shameless plugin
Trying to write something useful with the built-in ASP server is so bad that we actually wrote a complete replacement. Our Padarn web server supports a subset of ASP.NET, was developed for CE (although it works on the desktop), and best of all you can use C # / VB.NET and the Visual Studio debugger for your page code. The only drawback is that it is not free - although if time has any value, it certainly costs less than trying to use the built-in server.