For Internet Explorer 8, Microsoft has bundled some developer tools. Click Tools then Developer Tools. Functionality is somewhat similar to Firebug, more similar to Chrome's developer tools, but not quite as good.
For Internet Explorer 6 or 7, you must install other tools to debug. Before you can start debugging, you will need either Visual Studio or Microsoft Script Editor. If you don't have Visual Studio, you can download the Microsoft Script Editor from Microsoft at http://www.microsoft.com/downloads/details.aspx?FamilyID=2f465be0-94fd-4569-b3c4-dffdf19ccd99&displaylang=en. From Script Editor, you can do just about everything that you can from Visual Studio, including viewing the call stack, setting break points, stepping through code, setting variables to watch, etc.
Once you have Visual Studio or Script Editor installed, from Internet Explorer, click Tools, then Internet Options. (if you're using IE7 and the menu bar is hidden, press ALT to show it). From this window, click the Advanced tab, and then uncheck "Disable script debugging (Internet Explorer".
Once you click OK here, go to the page that you wish to debug from. Then click View, Script Debugger, Open (again if you're using IE7 and the menu bar is hidden, press ALT to bring it up).
After this another window will open up asking which debugger you wish to use. Click on the one you wish to use (either Script Editor or Visual Studio), and click Yes.