SharpDevelop is an open source IDE for C# and other .NET languages. It can do most things, you otherwise do with Visual Studio. You find the project at http://www.icsharpcode.net/OpenSource/SD.
There is nothing special. It's quite intuitive, if you are used to IDEs. So the rest of this chapter is not about installing and making it run, but about developing peculiarities.
Check, that debugging is enabled at all. Go to project Properties Page, on the Debug Tab inspect the Debug Info setting.
Project properties - debug tab - debug info.
If you find the Debug Info set 'No debug information', the problem is easily solved: set it to 'Full debug information'.