The Debug menu should be visible, this seems to be a problem with your installation of VS 2008.
Try to reset the setting by Tools > Import and export settings ... > Reset all settings.
You could also use the command line option to reset your settings. Open up the VS command prompt and type "devenv/resetsettings"
And regarding the place where you give the path of Indesign.exe, this is shown when you start debugging either by accessing Tools>Start Debugging or by pressing F5. If the executable file is not set for the debugging session you will be prompted for one.You could also specify this in the "Debugging" category on the left hand side pane of the project settings window.
Hope this helps you out.
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