The security hardening in SP2 affects remote debugging since the firewall blocks machine to machine communication.
We have a workaround posted at http://support.microsoft.com/default.aspx?scid=kb;%5BLN%5D;833977#2020 that lets you configure your machine to re-enable remote debugging.
There are a few mistakes in this KB article, however, which we are in the process of correcting.
These are the corrections :
The section "Workaround for Microsoft Visual Studio .NET 2002" that lists steps (1) to (7) needs to be done for both VS 2002 and 2003, though it mentions only 2002. You should also do this right in the beginning.
Then you can turn on remote debugging, configure the Visual Studio .Net computer and configure the remote computer as described.