In VS2005, you can create a new database project, which will allow you to create and debug test scripts. You can step into the sql stored procedure code this way, but remember that the granularity of most tsql code (at least well-written ones) is not very high. A single select statement, even a really complicated one, is one statement.
Another way to track what's going on from your web application is to use SQL profiler.
Dan Guzman - Not the MVP (7/22/2010)
All questions have to be prefaced by Server version and 'according to MS Docs' or 'my own personal opinion based on how much detail I felt like digging into at the time.'