If you want to allow debugging on the local machine with WinDBG and Windows XP® (or later) you must add the "/debug" flag in your boot.ini file. This will ensure that the data structures the debugger needs will remain resident in memory. Otherwise they are pageable and may not be resident in memory when the debugger needs them.
Note that the amount of real "debugging" you can actually do locally with WinDbg is limited. But using WinDbg on the local machine can be very useful to examine data structures and such.