To get started, you might try:
Make a new project in Vis Studio, choose other project types, then database. (Note I am using VS 2005)
Create a database reference when prompted (or right click on database reference in Solution Explorer)
Fill in the dialogue boxes to specify the sql server and database you want to use.
Then look in the Server Explorer, expand Stored Procs container, and pick the stored proc you want. Right click on that and Step Into proc.
That should get you started.
For some reason I suddenly have the paranoid feeling that everyone will now post better replies which need less mouse clicks or whatever!