Is there any way to make Step-Into never step into files that aren't in the current project? In other words, to make sure I never end up debugging the Zend Framework, or Smarty, or something like that? 99% of the time the bug isn't in them but I sometimes forget, sometimes don't know that a particular method is something out of the current project.

It's rather interesting idea, but I don't agree that debugger shouldn't step "beyound" the project.
First of all, Frameworks and libraries are in the project in most (if not all) cases. If you want to get Code Insight for their classes/methods/functions etc, you have to add them into the project. 2nd problem is that the debugger has no knowledge about projects at all and adding this wouldn't be helpful for the cases when debugger is started for example from the IE toolbar.
I'll check what we can do in this direction.
Meanwhile, as a possible solution you may want to encode the files with debug info turned off. In this case debugger won't step into these files.

The libraries are included in the project property code insight includes, but the actual code isn't in the project root.

The code inside include is D:\Server\PHP5\includes, which had Smarty, PEAR and such like in it.