EXPERT RESPONSE
Unfortunately, you are correct: SQL Server Management Studio does not include the T-SQL debugger that was present in SQL Server Query Analyzer. Microsoft's solution is that developers wishing to debug T-SQL should use Visual Studio 2005, which does include a T-SQL debugger.
Personally, I am not a fan of step-debugging T-SQL at all. I find it a cumbersome process. The lack of visibility into temporary tables and table variables makes it less-than-ideal for most debugging scenarios I've encountered. I discussed some alternatives in an article Debugging with Macros and Assertions, which I wrote for SQL Server Professional magazine.
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