>We're using VFP to call SQL backend stored procedures via ODBC using sqlexec() function.
>How do we debug SQL stored procedures if sqlexec() returns a zero value?
>Is that something similar to Coverage profiler or VFP's debugger?

You should read VFP help first:
"SQLEXEC( ) returns 0 if it is still executing and returns 1 when it has finished executing".
IOW you set connection to asynchronous and not checking for SPT operation to complete.

And yes, there's SQL Server profiler. See also Debugging a SQL Stored Procedure from inside SQL Server 2000 Query Analyzer