JSI Tip 8944. FIX: SQL debugging does not work in Visual Studio .NET after you install Windows XP Service Pack 2.

Microsoft Knowledge Base Article 839280 contains the following summary:

This article includes the following information about this hotfix release:

• The issues that are fixed by this hotfix package.
• The prerequisites for installing the hotfix package.
• Whether you must restart your computer after you install the hotfix package.
• Whether the hotfix package is replaced by any other hotfix package.
• Whether you must make any registry changes.
• The files that are contained in the hotfix package.