I cannot find the xsl debug option in the xml option within VS 2008 express edition. Is it not available. What should we do to get that enabled.

Check out this link, it might have the info you are looking for.
I converted the code provided in that link from c# to vb.net, but I personally do not have any experience with vb.net and XSLT.

Dim processor As Xml.Xsl.XslCompiledTransform = New Xml.Xsl.XslCompiledTransform(True)

Wish I could be of further help, good luck.