debugging vb.net 2008

Question

 I want to debug a vb.net 2008 desktop application that connects to a sql server 2005 standard edition database. I want to be know how to 'step through' sql in a stored procedure.  I am using Visual Studio.net 2008 professional version connecting to a sql server 2005 standard edition database. What I have tried has not worked to far.
  What I have done is:
  1. I set a break point on the first declare variable name. I do not put a breakpoint on the
'alter procedure name dbo.sp name'. I also put a breakpoint on the last line of the stored procedure.
  2.  I select each project file  that  can be executed, right click and get the context menu then select properties and then put a check mark in the enable sql debugging and enable  unamanaged code debuggging.
  3. In server explorer in the visual studio.net 2008 ide I do the following:
      a. right click on the data base connection and pick allow sql/clr debugging.
      b. I right click on the stored procedure that I want to execute and select 'step into procedure'. A list of parameters show up and I hit the ok button.
   Can you tell me what is wrong? On the internet, I saw a reference forvsql server 2008 stating that I need to run the 'sp_sdidebug' extended stored procedure to control access to the stored procedure. Since I am running against sql server 2005, is there some other database stored procedure or setting I need to use?