Microsoft Script Editor can be used to debug Javascript in IE. It's less buggy than Microsoft Script Debugger but has the same basic functionality, which unfortunately is pretty much limited to stepping through execution. I can't seem to inspect variables or any handy stuff like that. Also, it only shipped with Office XP/2003 for some bizarre reason. More info here if you're game.
I downloaded the Visual Web Developer 2008 Express Edition mentioned by Eugene Lazutkin but haven't had a chance to try it yet. I'd recommend trying that before Script Editor/Debugger.