Does any one know how we can do this?
I have python code in eclipse and whenever it calls c++ functions, i want the break point to go to the visual studio c++ project.
If the C++ app runs as a separate process then its pretty easy. You can run the process yourself or attach visual studio to existing running process and put break points. 
If C++ code  is an embedded DLL/LIB then you can use python as debug/launch process. As soon as python will load the DLL/LIB into your python code visual studio will activate your break points.
Alternatively you can also add windows debugger launcher calls to your code. As soon as your code gets executed, you will see a dialog box asking if you want to attach a debugger.
Debug C++ code in visual studio from python code running in eclipse