I am trying to enable SQL Debugging following this link http://msdn.microsoft.com/en-us/library/ms165038%28VS.80%29.aspx but i can't see a debug tab. How come?
Are you sure you are right clicking on the Project(s) and not the top level solution? What are you seeing?
What type of project is it? ASP.NET, winform, service etc..?
Another way to get to the same place is from the top menu, click "Project", then at the bottom you will see "(your project name) Settings...." but your solution and/or project needs to be open.
[Edit]: OK thanks for the details, now we can get somewhere,in that properties screen go to "Web", scroll all the way to the bottom, you will see a section "Debuggers", you should have a check box for "SQL Server" (ASP.NET will already be checked), check it and you should be good to go
Convert the web site to a Web Project, you can see this option when you right click the project. This may give you more options.
EDIT:
This is probably what you are looking for: http://imgur.com/wHDFb.png
The MSDN page you linked to is for VS 2005, so it's probably a little out of date.