There are two main types of Debugger available in Visual Micro, depending on the board/s you are trying to use.

An overview of the differences in these approaches can be seen on the below page:
https://visualmicro.com/page/User-Guide.aspx?doc=Arduino-gdb-Differences.html

1) Universal Serial Debugger:
This requires no additional hardware, and has Break/Trace points, as well as the ability to see pin states, and create custom plot charts.  It runs through the standard Serial port (or over WiFi), and can be setup easily by setting all break/trace points in the sketch and uploading it.
Documentation: https://visualmicro.com/page/User-Guide.aspx?doc=Debugging-Walkthrough-Start.htm...
Conditional Debugging Example Video: https://www.youtube.com/watch?v=kSxPGl8pEY8


2) Hardware Debugging:
This may require an external debug probe depending on the board you are using, and gives line by line stepping in your code, with the ability to debug libraries and core files.   
Documentation: https://visualmicro.com/page/User-Guide.aspx?doc=Arduino-gdb-Tutorial.html
Video Example: https://www.youtube.com/watch?v=tkG5MvyEurI

If you confirm which board you are trying to debug we can give more specific links to the documentation for Hardware Debugging if desired.