If you're not reaching the break point at the top of Sub Main(), then you might check the properties of the project.  On the Application tab, you should have the Enable Application Framework unchecked, and the Startup Object should say Sub Main.  If those are correct, then check the Immediate window and the Output window; one of them might list an error that might give you a clue.

I've followed along the instructions for the tutorial.  When I go to run it, it just flickers slightly, then takes me back to the IDE.  No error messages.  I tried putting a breakpoint on the 1st line in Sub Main.  The breakpoint is never reached.

I've been having similar problems with some of the sample apps as well.  I'm using SQL Express

The BOM works fine and the database connection is correct.  I've also deleted the connection.dat file a couple of times thinking that may be the problem.