I think that what you have to check is:
if the target EXE is correctly configured in the project settings ("command", in the debugging tab). Since all individual projects run when you start debugging it's well possible that only the debugging target for the "ALL" solution is missing, check which project is currently active (you can also select the debugger target by changing the active project).
dependencies (DLLs) are also located at the target debugee directory or can be loaded (you can use the "depends.exe" tool for checking dependencies of an executable or DLL).