I use VS.php , which is a commercial add-in for Microsoft Visual Studio (from 2003 to 2010). It includes GDB and XDebug and a local Apache server. It supports end-to-end debugging, as you describe, and integration with VS, including the Locals, Watch, and Call Stack windows.
I understand that such systems exist for Eclipse (as well as for free), as well as for the Komodo commercial environment.
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