Here are instructions for installing the Nusphere debugger with Zend Server CE. My environment is 32bit Windows.

1. Install Zend Server CE
2. Turn off Zend Debugger: Go to the web admin (http://localhost/ZendServer) select Server Setup > Components and Turn Off Zend debugger then Restart PHP
3. Download the Debugger package from the 'My Products' section of your online Nusphere account e.g. NuSphere-phped-5.6-debugger-ssl.zip
4. Copy the file [EXTRACTED DEBUGGER PACKAGE PATH]\NuSphere-phped-5.6-debugger-ssl\debugger_ssl\server\Windows-ssl\x86_NTS\dbg-php-5.2.dll to [ZEND SERVER INSTALL PATH]\ZendServer\lib\phpext
5. Alter the file [ZEND SERVER INSTALL PATH]\ZendServer\etc\php.ini and append the following to the bottom of that file:
extension=dbg-php-5.2.dll
[debugger]
debugger.enabled=on
debugger.profiler_enabled=on
6. Restart the Service Apache2.2-Zend

Didn't work for me with php 5. I got:

PHP Warning: PHP Startup: Unable to load dynamic library 'C:\Program Files\Zend\ZendServer\lib\phpext\dbg-php-5.3.dll' - The specified module could not be found.
in Unknown on line 0