I am not familiar with any "DLL attached" dialog box for your number 3.
My Makefile automatically copies the new DLL into my mod directory upon compilation
Code:
Debug-after:
-@if exist "Debug\CvGameCoreDLL.dll" copy "Debug\CvGameCoreDLL.dll" "C:\Program Files\Firaxis Games\Sid Meier's Civilization 4\Beyond the Sword\Mods\Fall Further\Assets"
And VS is set up to launch the process and instantly connect the debugger (though without this setup, you can connect the DLL by using Attach to Process and selecting Civilization BtS as you describe)
To set up VS to launch and link automatically, go to
Project->CvGameCoreDLL Properties, selection
Configuration Manager->Debugging, in the first line enter
C:\Program Files\Firaxis Games\Sid Meier's Civilization 4\Beyond the Sword\Civ4BeyondSword.exe (Or whatever your proper directory path is), and in the second line enter
mod=\Fall Further with the name of your mod in the place of the name of mine. Basically you just write exactly what is in your shortcut to auto-launch your mod, split into 2 lines.
Once you do this, you can just hit F5 and it will compile your debug DLL, copy it to the mod directory, and launch the mod with the Debugger attached immediately, letting you watch each XML file load and everything else.