If you have IE8, you may have noticed a really handy feature that MS has added. Hit F12 and Developer Tools, a firebug like debugger, pops up. This is extremely useful for debug
There isn't a way for the embedded hosts to use the built-in developer tools. But if you want to debug you should still be able to, you can attach visual studio / windbg to your app, at worse you could insert breakpoints with the "debugger" keyword. In VS you might have to select script from the "select..." menu under "debug these code types".