It depends on whether you are using a source install or the starter kit. For the starter kit, when you first setup the project, there is a dialog box that lets you pick "File System/HTTP/FTP". File system is the built in server, HTTP is IIS. You need adminstrator's rights on a system to debug IIS.
For the source code, it is already setup to use IIS. It does require some setting up though. I won't go into details here as there are several posts on the
ASP.Net forums that go into it in detail. In fact there is a pinned post there that may be useful. Also check the forums here as I remember seeing a post on creating custom modules.
Before you can debug in either though, the DNN must be built successfully and you should be able to browse the default site.
Finally, it would be useful if you could please post the details of any errors, or specifically what is going wrong. You should not need any specific "settings" to get debugging to work. There are some pitfalls however that others can help you with if you provide details on what is going wrong.