Before you begin you will need some software. Here's what we're using:
Make sure you also have drivers set up for the board you're using, and get a sketch working and uploaded to the board. That means you have the IDE and package set up, which is something you want done before you continue
If you're using a J-Link, install all software and drivers for it and run the J-Link commander to make sure you update the firmware, new firmware is constantly being released so best to update your 'Link!
Here's where the Mac and Linux people will be sad. This is the IDE software that can do step&memory debugging and its only for Windows. Also you have to make an account on Atmel's site, download it from here
Make sure you have the latest version, we used build 790