You can use the DTE (VisualStudio Automation Model) to write a macro that will be invoked when a stop debug happens, below is a snippet of the idea.
Private Sub DebuggerEvents_OnEnterBreakMode(
ByVal Reason As EnvDTE.dbgEventReason,
ByRef ExecutionAction As EnvDTE.dbgExecutionAction) Handles DebuggerEvents.OnEnterBreakMode
If (Reason = dbgEventReason.dbgEventReasonStopDebugging) Then
// DO YOUR CLEAN UP CODE HERE
End If
End Sub