Anytime you want to do anything in a debugger, you need symbols. Best thing you can do is set up an environment variable, so you're done. Here are public Microsoft symbols. Yves has created a little cmd that you can use which I politely copy here since it is handy:
SetX.exe /M _NT_SYMBOL_PATH "SRV*C:\Symbols\Private*\\Symbols\Symbols;SRV*C:\Symbols\Public*http://msdl.microsoft.com/download/symbols"
And for more information there is a KB article.