The Zend Executable Debugger plug-in is part of the all-in-one PDT package, but if you want to install it on your own'"since it's possible to use this debugger without the PDT and with PHPEclipse, for example'"then you'll need to install it using the Eclipse Update Manager (the easier way).

He mentions how to install the tool (including the information for the Update Manager) and attaches some screenshots of the tool in action - first of the installer and second of the plugin in action.

UPDATE: Ben added a note about XDebug support for the PDT software into the post as well:

Patrick Mueller has just posted some links to information about XDebug support for PDT. Now, for those not wishing to use the Zend Debugger, you may now use XDebug.