Hi, you have to place the VS Studio disk 1 in the drive of the server where you want to run projects. Once you get the set up screen you will see a link that says something like 'Install remote debugging components' or something like that.
From memory, it is the last link at the bottom of the setup splash screen. Install these components and then you will be able to debug remotely on your web server
Just for the record, on setup under 'Visual Studio.NET', select 'Add or Remove features' then 'Native Remote Debugging'
I think I still have to tweak a few things to get it working, but hopefully that should be OK. It was a bit unnerving to get that popup message when I was just trying to create a 'Hello World' app..