The get debugging to work you need to include debugging symbols in your code...
In the project menu click Project Options...
On the compiler tab set debuging to full...
On the linker tab ... for x86 (32 bit) select CodeView and Coff... for x64 (64 bit) select CodeView.
Close the window.
Now on the main toolbar click "Go Debug"... (Not "run")
You should now have a step through view of the source code where one line is processed for each click of the "step into" button.
If you set breakpoints, the code will run to the first breakpoint and stop, then clicking step into will go line by line.
It's one of those things that seems harder than it really is...