I've successfully installed DBG.dll for PHP as my phpinfo() shows this:

PHP Version 4.3.9

System Windows NT ROB 5.1 build 2600
Build Date Sep 21 2004 14:03:10
Server API Apache 2.0 Handler
Virtual Directory Support enabled
Configuration File (php.ini) Path C:\WINDOWS\php.ini
PHP API 20020918
PHP Extension 20020429
Zend Extension 20021010
Debug Build no
Thread Safety enabled
Registered PHP Streams php, http, ftp, compress.zlib

Zend logo This program makes use of the Zend Scripting Language Engine:
Zend Engine v1.3.0, Copyright (c) 1998-2004 Zend Technologies with DBG v2.11.32, (C) 2000,2005, by Dmitri Dmitrienko

And my php.ini has this:

[debugger]
extension=php_dbg.dll
debugger.enabled=on
debugger.profiler_enabled=on
debugger.hosts_allow=localhost
debugger.hosts_deny=ALL
debugger.ports=7869, 10000/16

I've also set up PHPEclipse to use DBG Client (from http://www.php-debugger.com/), but in PHPEclipse it doesn't stop at breakpoints.

Sometimes I get this error when going to files directly when PHPEclipse is even closed (so it's not just a PHPEclipse problem I think):

DBG

Failed to start debug session

reason:
failed to establish connection to client host on 127.0.0.1:10001

Sometimes I get this one when running debug mode from PHPEclipse:

Status: 404
Content-type: text/html
X-Powered-By: PHP/4.3.9

No input file specified.

I'm really at the end of my rope here. Any thoughts?

I'm not expert in PHPECLIPSE yet. Please check if IDE uses port TCP/10001 and server may connect to the IDE on this port.
See debugger troubleshooting in the General FAQ forum.