It's not the debugger, it's explorer.exe, but now you have a debugger, so windows ask you if you want to debug it. AFAIK the debugger of visual studio is not compatible with Explorer.exe, if so it will not work if you say to debug with it.
May be a virus modificated explorer? (note: there is not perfect antivirus) Do you have the windows installer (and the SPs you has used)? If you have it, run: "sfc /scannow" on your machine, it will ask you for the windows intaller cd, this will reverse all the core files to their original. (if your antivirus has access protation, you may need to disable it) after the proccess is done, you will need to install the SPs again. (don't forgive to enable again the antivirus). The method above will help out in situation when most (thieves or unexperienced) technicians will surely end up formatting and reinstalling windows. More info about sfc: http://technet.microsoft.com/en-us/library/bb491008.aspx
