The LINQ to SQL Debug Visualizer isn't built-in to VS 2008 - instead it is an add-in that you need to download to use.  You can download a copy of it here.

The download contains both a binary .dll assembly version of the visualizer (within the \bin\debug directory below), as well as all of the source code for the visualizer:

Figure 5

To install the LINQ to SQL debug visualizer, follow the below steps:

1) Shutdown all running versions of Visual Studio 2008

2) Copy the SqlServerQueryVisualizer.dll assembly from the \bin\debug\ directory in the .zip download above into your local \Program Files\Microsoft Visual Studio 9.0\Common7\Packages\Debugger\Visualizers\ directory:

Figure 6

3) Start up Visual Studio 2008 again.  Now when you use the debugger with LINQ to SQL you should be able to hover over LINQ query expressions and inspect their raw SQL (no extra registration is required).

Hope this helps,

Scott