If you are developing in Visual Basic, there is no advantage in installing the debug DLLs because your application would run more slowly.

When developing software in C++, it is best to install the debug versions of the DLLs. The debug DLLs have additional code that validates internal data structures and output debug error messages (using the Microsoft® Win32® OutputDebugString function) while your program is executing. When an error occurs, the debug output gives you a more detailed description of the problem. The debug DLLs execute more slowly than the retail DLLs but are much more useful for debugging an application. Be sure to ship the retail version with your application.

To see the debug messages, configure your system so that debug output displays in a window or on a remote computer. A development environment such as Visual C++ allows you to do this. Consult the environment documentation for setup instructions.