Hi,
When you need to debug a stored procedure, you only have to locate it in the database explorer — Step-in and step-over command and is available from the debug menu. Optionally, start debugging from a stored routine source window, or from the Code toolbar.
Once you have the object browser top menu, select a stored procedure in a database and click on the debug option in top menu. Select the start debugging option and debug the stored procedure.
Refer this link also,
http://msdn.microsoft.com/en-us/library/hh272701%28v=vs.103%29.aspx
Regards,
Gandhi