When you are creating DotNetNuke Custom Module(Primary Assembly) in Visual Studio 2003, you are using BuildSupport project responsible for taking the DLL that is created by your project and adding it to the DotNetNuke solution's bin folder.
At the same time for debugging you specify DotNetNuke as the StartUp project for the solution.
Visual Studio has a “Build and Run Option“ -”Only build startup projects and dependencies on Run”.
Ensure that is not ticked.(Unfortunetely the option is global for Visual Studion and can't be set differently for different solutions)
If the option will be on, DotNetNuke project will start without rebulding of the Private Assembly and latest changes will not be included.
It seems that Visual Studio 2005(not tried yet) has other options to solve the problem