If the chip you use is PSoC1, you need special chip for debugging which connects to the club. The programmer can only program the chip.
If the chip you want to use is PSoC3/5, they the minprog 3 can be use for debugging when using with PSoC creator.
There are on line trainnning for both the PSoC designer and the PSoC creator from Cypress's web site.
Could you let us know which kit you are using. If it is a PSoC1 kit and if the device is a PSoC1 device, you will need an external denugging circuit called ICE for setting breakpoints and viewing the memory and so on. However if its a PSoC3 device all you need is just the Miniprog3 in order to debug your application.