Hi. Sorry for the delay in replying.
For a simple test case that I have set up, stepping in to HttpContext.GetLocalResourceObject stops at the static Create method on VirtualPath.
I set a breakpoint on the GetLocalResourceObject by having the VirtualPath.cs file selected in VS and going File/Open/File. I then navigated to the HttpContext.cs file and put a breakpoint on the two static methods.
Looking in Debug/Windows/Modules for System.Web, you can see that the assembly is optimised. This means that some debuggability is lost. You can use ngen to regenerate the assembly with debugging enabled. You do this by putting an ini file next to the assembly and using ngen to regenerate it. There are a couple of forum posts that mention doing this.
Does that help?