An Orchestration *.odx file contains an XML file and code written in a language specific to BizTalk called X#.
You can easily find these, when you right click an orchestration and open it with XML Editor or Notepad.
XML Representation of the Orchestration is used by the Graphical Designer to show the shapes on the screen.
X# code is in turn converted to C# at runtime using XSharp.exe file and this C# assembly will be executed.
This C# file can be found inside <ProjectFolder>\obj\Debug\BizTalk\Xlang\File0.cs once the project is built.
Unlike in earlier versions of BizTalk, only one .cs file will be created irrespective of number of orchestration you have in your project.
This File0.cs file has different sealed internal classes for each of the orchestration in your project.
To debug your orchestration or code written in an expression shape, open this File0.cs and keep a break point. Attach BizTalk Server to the BtsNTSvc Process.
Now you will be able to debug your orchestration using C# Code.
Hope it helps.