In IE you have to enable script debugging. Go to Tools, then Internet Options. Click on the Advanced Tab. Un-check disable script debugging (Internet Explorer). It is checked by default.
Once you have this set, a new option is available in your View menu. If you click on View there is now a script debugger option. If you are using IE 7 you will need to click on Tools, then Menu bar to see the View menu item.
Under View/Script Debugger there are two options. The first is Open.