Edit: I see DMac beat me to it
Since not all of us use the DBG/REL/PRF AddIn, here's how to set the options manually...
On the main menu...
Project -> Project options -> Compiler -> Debug information = full
Plus...
For 32 bit projects:
Project -> Project options -> Linker -> Debug information = Code View and Coff
For 64 bit projects:
Project -> Project options -> Linker -> Debug information = Code View
Set at least one breakpoint.
Then click the Go Debug button on your toolbar.