First under unity editor goto preference then click on "External Script Editor", browse the folder where you install Unity 3. In the Unity 3 folder, you will see a folder called "MonoDevelop". Open the folder "MonoDevelop" then click on the "MonoDevelop" exe shortcut. Next press "Sync Monodevelop Project" under Assets menu. Then it will auto launch the MonoDevelop editor with the Unity Debugger.

(Note, please do not point to the actual "MonoDevelop" exe file, this will not be work for unity debugger. The unity debugger only work if you point to the "MonoDevelop" exe shortcut under Unity 3 folder)

You need to set the path to the Unity Editor first. Tools -> Preferences -> Unity Debugger -> Editor Location.

And when you start debugging, MonoDevelop will launch Unity for you. Once you hit the play button in the editor, the debugger will attach.

Note that if you stop playing the debugger will detach, and restarting won't reattach, so you have to exit Unity, and restart debugging from MonoDevelop to debug again. (This has been fixed in Unity 3.0.0b4)

Other way round - you need to launch Unity via the debug button

Documentation for debugging is in /Documentation/Manual/Debugging.html (relative to your install folder) - I would read the entire thing