Debugging my sprock

From this msg im guessing that SQLE.DLL nee to be installed on my SQLServer box, is that correct? Where would i find this dll?

Server: Msg 508, Level 16, State 1, Procedure sp_sdidebug, Line 1
[Microsoft][ODBC SQL Server Driver][SQL Server]Unable to connect to debugger on APOLLO-ClintonSQL (Error = 0x800401f3). Ensure that client-side components, such as SQLLE.DLL, are installed and registered on PUR-CO-Clinton2. Debugging disabled for connection 59.Start here (http://msdn.microsoft.com/library/default.asp?url=/library/en-us/trblsql/tr_servtools_5cfm.asp).

-PatP