I recommend using the modules that are available in the NuSphere-phped-5.9.5-debugger-ssl.zip file that you can download from your account at the same time your are downloading PhpED.
It can be confusing as to the correct place to put the debug modules, as you will often have multiple PHP folders and php.ini files. Use the Settings Wizard to determine the correct folder and php.ini, or you can manually download the script from
http://shop.nusphere.com/customer/download/files/dbg-wizard.php then copy it to a web site on your server and access it through a web browser.
Whilst the PhpED installation comes with a set of debug modules, I have found them to sometimes be older than the debugger-ssl modules plus a lot smaller, but I'm not sure what all the differences are. I always use the debugger-ssl modules and you do not need to use SSL with these modules.