Debugging stored procedures in Visual Studio 2008 Pro

Question

I'm trying to setup debugging of stored procedures in VS 2008 Pro, when I right-click on the connection in the Server Explorer I don't see the Allow SQL CLR Debugging option at all. The SQL Server is remote and running the 2005 express edition, so I'm not sure if I have to enable something on the remote server itself. Any help is appreciated.

UPDATE:

Followed instructions to setup Remote Debugging from this link:

http://msdn.microsoft.com/en-us/library/bt727f1t%28v=VS.90%29.aspx

I still cannot get the option to step into a stored procedure when I right-click under the connection in Server Explorer.