That file is part of the .NET Framework, so you're unlikely to have a copy on your computer.
You can set up Visual Studio to enable you to step into the .NET Framework code - the instructions vary slightly depending on your version of Visual Studio:
How to: Debug .NET Framework Source[
^]
If you don't want to step into the framework code, then enable the "Just My Code" option under
Tools -> Options -> Debugging -> General.