It works for me. (You knew someone would say that, right? ;))
You right click the stored procedure, select debug, then set a breakpoint by clicking on the line and hitting F9 to set (toggle) a breakpoint on the selected line. You then hit F5 (or click GO). Execution stops for me at the line where the breakpoint is set.
When you enter the procedure in debug mode (after entering parameters, if any) by clicking on execute, you will be placed on the first executable line of the procedure, in effect at an invisible breakpoint on that first line.
(You're not setting a breakpoint there
are you ?
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