Complex XSLT stylesheets often contain several include and/or imports instructions. VS XML Editor has very limited support for such scenarios. (Most noticeable it lacks the concept of "primary stylesheet".)
In the XSLT Debugging session you may need to put breakpoint in the template that is defined in one of the referenced files and VS doesn't provide convenient way of opening these files.
Even more tricky is putting breakpoint on the built-in template rule. There is no way to find and open them in the VS.
VS 2008 SP1 has a solution for this problem but unfortunately it is not enabled by default. I hope VS 2010 would fix this.
This feature can be enabled by setting to 'True' the registry key 'XsltImportTree' under 'HKEY_CURRENT_USER\Software\Microsoft\VisualStudio\9.0\XmlEditor'.
With this feature each time you start XSLT Debugger the XSLT import/include tree would be added to the solution explorer. To see it you need to have "Solution Explorer" tool window opened (View | Solution Explorer).
This is a sample screen XSLT Debugger in of VS 2009 SP with the feature enabled:
I hope you would find this useful.