MSDN is always a good place to start:
http://msdn.microsoft.com/en-us/library/bt727f1t(v=vs.80).aspx[
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To install remote debugging components (non-SQL Server 2005)
The remote debugger is available on the last disc of your Visual Studio 2005 installation set. Insert this disc on the remote machine. For example, if you have four discs in your installation set, insert disc four on the remote machine. If you have a DVD instead of a CD, insert the DVD.