In order to debug you need to be able to attach to a process, typically this process is one running on your local machine. Attaching to another machine's process is going to difficult if not impossible. I know there are ways to do remote debugging for ASP.NET apps, but this requires the installation of remote debugging helpers on the server.
In your case, it would be best if you can run the database on your development machine (i.e. install SQL SERVER) so you can attach to the sqlserver.exe process. I haven't done this myself, but the principals of debugging should be the same as other processes.