It is supposed to be in Debug -> Windows when debugging but it's not. It's not even in the command list under Tools -> Customize -> Commands -> Menu Bar: Debug - Windows -> Commands yet it is mentioned as a feature on this page: http://msdn.microsoft.com/en-us/library/4dt5w8ta.aspx
This is VS2010 Premium.
It's where they say it is, but you need to be in a debugging session to see the option.
Set a breakpoint in your code somewhere and start the debugger. Then you will see the "Autos" option under Debug->Windows.
If you don't see it in Tools + Customize for "Debug | Windows" then you won't ever see it. Use Add Command. Or Tools + Import/Export, Reset.
If none of the above solutions are appealing to you or works in your environment, you can bring up the autos window by entering debug mode, and typing Autos in the command window (Ctrl+alt+a)