I, too have tried to use the debuggers, but have had no success whatsoever. I'm either 1. Too dumb to understand the tutorials, or 2. Expecting it to work like it would if I wrote it.
In either case, I have found both of the debuggers useless. So far, my opinion is that Microchip's is hard to use because it is purely software, and therefore has a hard time dealing with hardware events (how DO you write stimulus files, anyway?), while the Microcode Studio version always gives me errors, such as "path too long" - even when I have moved all files to the root of my C: drive.

If someone has a "dumbed-down" explanation of the step-by-step use of a debugger, I would really appreciate it if they would post it.

I have several ICD2's and all my PIC circuits use 8720's or 8722's with MAX chips. I use MCStudio. If there is a better/easier debugger that I should be using, tell me and I'll buy it.