Debugging support for SSIS packages is probably one of the best features of the SSIS 2005 designer, but sometimes you may find that "Start Debugging" (F5) and "Start without Debugging" (Ctrl-F5) commands are grayed out. Why?
The reason might be obvious to developers who worked with Visual Studio, but hard to find to people coming with DTS experience. In Visual Studio the debugging facilities are provided by the project, so you can't debug if you opened a .DTSX file standalone, without a project.
If you have a project (.DTPROJ file) that includes this package, just open this project and you'll be able to debug the package. If you just got a standalone DTSX file from somewhere and want to debug, you need to create a project:
Note that adding the package creates a copy of the package in the project folder, so all edits affect this copy instead of the original.
Other trivia: debugging artifacts, like breakpoints and visualizers are part of the solution (to be precise, user part of the solution: .SUO file), they are not stored inside the package. So if you want to send a package to somebody and let them see your breakpoints and visualizers, send the .SLN and .SUO files as well.