It makes no sense, if a new thread is created from the dll then the dll should call your defined call back procedure which must be self contained and never access unprotected data. If the debuger can't debug threads then you probably will never hit a break point but you might get away with a record in a file with the data or even a autoinc value posted to the main thread using messages or the queue procedure.
what ever you do, do not use showmessage, msgdlg or any screen related call inside your call back. For more information you have to post more information, posting the manual of the dll might be a good idea.