Ignoring the Java side - I don't use it, so I can't comment (but it won't be very different) the debugger is built into VS.
When you run your program with the F5 key, it attaches a debugger to the application, and allows you to do an enormous range of things, from the basic "add a breakpoint" (which stops your program running when it reached a specified line of code) to viewing an amending variable values and single stepping through the code to follow exactly what is going on.
How to do it? Run the program, and use the "Debug" menu to select what you want to do.
We can't give you a full explanation, there is too much there. But start reading here: http://msdn.microsoft.com/en-us/library/sc65sadd.aspx
] and you might get the basics.