I got it from the link to download DbgCLR that Shawn provided in the comment section of the page you've linked to :
http://msdn.microsoft.com/en-us/library/7zxbks7z.aspx . He seemed surprised that it's not included in the framework as well.
"DbgCLR is no longer available"
"DbgCLR did not ship with this version of the .NET Framework (talking about v3.5)"
The suggestion for a replacement seem to be "MDbg.exe", but I don't seem to have that installed either, of Vista's search is crapping on me again.
I though that maybe the dotNet framework I have is too old or it wasn't completely installed when I have installed Visual Studio Express 2008, but the dotNet 3.5 installer is telling me that everything is up to date and doesn't download any additional components.
And I am on Vista x64, but I am not sure what you are suggesting that I run as Admin? Visual Studio?