For those that have had trouble getting Xdbug up and working on your PHP installation, Derick Rethans has a new tool that just might help you out - a new wizard installer that handles some of the trickier parts (mostly for Windows issues).
Installing Xdebug seems to be a problem for some users. The main trouble is for Windows users that don't know which file to download. Over the past few days I've worked on a wizard that analyzes phpinfo()'s output.
It has suggestions for both sides of the common installation platform - Windows and Unix - showing you which file to download, how to set it up (or compile it) and what php.ini settings you'll need to add or modify to get it working.