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Then, we must to enable the same on the Business Connector with Configuration Utility: (in my case I had to check both in order to debug my web service)
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Now, you can add a breakpoint in your code.
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Finally, you should run an instance of Debugger manually from the client's main menu because it does not start automatically as usually.
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In conclusion I need to say that you should log in on your debugged application with the same user account which was used for the client and debugger sessions.
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Lucky hunt for bugs!