As I spent some time to make it work, I thought it might help some of you ... :

I used plink.exe (command-line brother of putty.exe) to create an SSH tunnel to my server from my windows PC.
This way I can using remote debugging without opening ports on my firewall and without having to install cygwin (for ssh).

Installation :

- download plink.exe from http://www.chiark.greenend.org.uk/~sgtatham/putty/download.html
- save it in a subfolder of you nusphere installation (example in my case : C:\Program Files\nusphere\phped\Plink\).
- create a shortcut on your desktop with the following target :

"C:\Program Files\nusphere\phped\Plink\plink.exe" -N -l remote_user -pw remote_password -R 7869:localhost:7869 your_server_name_or_IP

Replace "remote_user" by your username on the server, "remote_password" by your password on the server and "your_server_name_or_IP" by either your server or it's IP address

- check that your php.ini settings for the debugger on your server allows connection for localhost

Operation :

- when you want to enable remote debugging, just launch the shortcut. It will open a DOS-window that should stay running as long as you want to use remote debugging. That's it.