So, your compiled applications can be run in a "debug" mode from which visual studio can monitor the internal workings of the application and even control it.
A break point can be placed just about anywhere in your code by clicking to the far left of the line (kinda in the margin of the visual studio text editor). When that line of code has been reached, the visual studio debugger will actually pause the execution of your program and bring you back to the editor where you can literally hover over a variable or object or whatever and see everything about it.
There is also a "Locals" window available that will give you the break down of all of your locally scoped items - this should pop up by default at the bottom of your screen when debugging.
In debug mode you can navigate the execution of your code line-by-line
F10 will continue with the next line of code.
F11 will attempt to drill down into what ever functions are on the current line of code
Ctrl-D will bring up a "Quick Watch" window giving you all information about the currently selected variable/object.
Once you are in debug mode there are tons of things you can do - in some cases you can even edit the code as you go.
The easiest way to get into debug mode is to use the little "play" button up at the top of visual studio - and when a break point is reached it will enter debug mode and highlight the currently executing line of code.
You can also hit F10 from the editor and your application will be started and paused on the very first line of code.
By comparison, in PHP, you had to actually write "debugging code" into your application - using Visual Studio you can actually monitor the execution of your code without adding a thing to your existing code.
I hope that gets you started.
You might want to also read up on your IDE a bit to. There is a metric ton of stuff in visual studio that will help you navigate your code in ways you never imagined in most PHP editors.