Salford FORTRAN95 symbolic information is embedded in the .exe/.dll as COFF (Common Object File Format) information, with some proprietary extensions to Salford Software (which they have kindly shared with us).
Please consult the documentation for Salford FORTRAN95 to include debug information (including filenames and line numbers) in the COFF information.
Add the /DEBUG option to the compiler options.
If you still have problems, please contact us giving as much detail as possible, including what you've tried.