One other note. You have a choice with VFP as to whether the Debugger runs in its own frame (the "Debug frame") or in the VFP frame. The default is the Debug frame, which gives the Debugger its own presence on the task bar. In that case, the command to open it is Debug, or you can use Tools | Debugger from the menu.
In general, I recommend against putting SET STEP ON in your code (or any other commands that you have to remove before deploying). The Trace and Watch windows let you set breakpoints, as do all code windows. It's very rare for me to find a case where I can't set the appropriate breakpoint to get me into the code where I want.
Tamar