>Trying to use the debugger in MS SQL Server Management Studio and the "Attach to Process" menu option is missing? Can you help?
>
>here is the link that I'm trying to follow:
>http://msdn.microsoft.com/en-us/library/ms241871(VS.80).aspx

You can't debug SP from SSMS (and that is weird) but only from Visual Studio environment.
From the link you pointed:
To run a test script from SQL Server Management Studio

1. Open Visual Studio and establish a connection to the database. For more information see How to: Connect to a Database.
2. Attach the debugger to the SQL Server process by doing the following.
1.From the Tools menu, select Attach to Process.
2.In the dialog box, find sqlservr.exe in the list of available processes, and click to highlight.
3.Press the Select button to open the Select Code Type box.
4.Select the Automatically determine the type of code to debug option, and click OK.
5.Click the Attach button.
3. In Server Explorer (that is part of VS), open the database object to be debugged and set breakpoints.
4. In the SQL Server Management Studio, run a script that will test the database object. You cannot set breakpoints in this script, but the script will cause the database object to execute, and its breakpoints to be hit.
5.The code for the object will appear in Visual Studio with a yellow arrow in the left gray margin indicating the statement about to be executed. You may now use most of the familiar debugger features.
6.To finish debugging, press F5 or Start. The code will execute and exit the debugger.