We put a lot of work into Visual Studio 2005 to make remote debugging easier. One advance was to embed support for detecting and adding exceptions to the Windows Firewall. So, if you run the remote debugger (msvsmon.exe) it will detect if the firewall will block remote debugging. If remote debugging would be blocked, you will get this dialog:

Two tips:

1. If you have a big network, don't pick the 'local subnet' option. We provide the 'local subnet' option because it is more secure. However, if you are on a big network (say the Microsoft corporate network for an example), and you pick the 'local subnet' option, then debugging is not going to work.
2. If you need to bring this dialog back, remove the firewall exception for remote debugging. Go to Control Panel -> Windows Firewall -> Exceptions and delete Microsoft Visual Studio and Visual Studio Remote Debugging Monitor. You will get the dialog again the next time you restart the remote debugger.