I recently stumbled upon a blog that explained how to use the Source Server technology to enable the debugger to automatically download source files from TFS. This is useful when you work on a software project that is large enough that you debug against modules that are built by your build lab instead of being built locally.
Here are instructions for setting up Team Build: http://jelle.druyts.net/2007/12/09/SettingUpSourceServerForTFSBuilds.aspx
After doing this, you will also need to configure the debugger. John Robins has instructions for doing that in MSDN Magazine. Go down to the 'Debugging in Visual Studio 2005' section.