So you asked about this a while ago and I PM’d you to see if you had figured it out. The answer was no, but if I came up with anything, let you know. Well, here we go.
When you install PhpED, make sure to install the IE debug toolbar.
Once you have the dbg module installed, as your post indicates you do, open PhpED and select Tools->Default Browser and select External IE.
In PhpED, find the line you want to debug. Hit F5 and set a break point.
In your external IE browser, browse to the page you want to debug, or the page with the link to the page you want to debug, or whatever the case may be. In the debug toolbar, click the down arrow next to Debug, and select the appropriate option. For example, if you want to start a debug session for the page at the link you’re about to click on, pick “Debug next page.” Take whatever action is necessary, whether it’s clicking a link, refreshing the page, etc. and your debug session will start in PhpED wherever you had set a break point, assuming that break point is executed.