Thanks for the quick answer.
  Sorry but I read all the forum and forgot to look at the documentation one last time before posting my problem...
  For the debugging problem I found that as my dll is using .NET 4.0 I have to say to the debugger I want to debug the .NET 4.0 symbols when attaching. So debug is working fine now.
  The Cleanup() function of my plugin isn't called when closing Max, is it normal ?
  Regards,
  Yannick