w32dasm-problem in win2000

Hi
I've tried to debug some programs in w32dasm 8.93 under win2000. The problem I have is that (for example if I'm after to get rid of a nag) when I've run the show and the nag is visible, the "step into"-button always takes me into some .dll (ntdll, user32...) and not the latest jump in the program.

What am I doing wrong?

Thx!