This is more for my own personal reference, but I had no idea until this week that we have a public symbol server for debugging applications. Basic instructions to use:

1. Install the debugging tools for Windows (namely windbg). The current release is here.
   
2. Start up the debugger, and set your symbols path to
   SRV*downstream store*http://msdl.microsoft.com/download/symbols
   The ‘downstream store’ should be a location on your local hard drive that you want to store symbols, for example:
   SRV*c:\websymbols*http://msdl.microsoft.com/download/symbols
   
3. Go!

That it - Simple, yet incredibly effective. Here’s some links to help out with using Windbg:

Using Microsoft Windows Debugger
Using the Windbg Debugging Tool
Common Windbg Commands

Also, you could always search Google for Windbg. Finally, remember that if you’re debugging in Visual Studio, you can always right click on the project, select “Debug Symbol Files” and enter the symbol server path there (more info here).