<p>I launch my program in C#, which then calls some unmanaged C++. </p>

<p>When I break on a line in the unmanaged C++, the 'New Data Breakpoint' menu item is grayed out.</p>

<p>Is there anyway around this?</p>

To set a data breakpoint in the native portion of a mixed mode process, see the
answer posted by jyoung
.
Visual Studio disables data breakpoints when running anything but pure, native code. See
this
post for a partial explanation why from a VS Program Manager.