Ok, so I figured out that the executable they mean is the php.exe so I pointed that field to where this binary exist. Still, I am not getting past that point, because now I see the message "The debug session could not be started. Please make sure that the debugger is properly configured as php.ini directive."
Not sure what to do next but I found an article that says even this all-in-1 package does not include the Zend debugger, so through Eclipse, I tried installing Zend Debugger from their site. This failed on me as well and gave me an error with all kind of unsatisfactory dependencies.
What should I do next? I can't believe I spent 5 hours trying to get a debugger working...