Hi Cosmin,
I've found the solution, although it needs a registry hack.
Before running the installer, set the following registry value to 1, to force Just In Time (JIT) debugging for Windows scripting:
HKEY_CURRENT_USER\Software\Microsoft\Windows Script\Settings\JITDebug
Then, when the installer is run, the standard 'which environment do you want to use for debugging' window pops up. Pick the appropriate environment (I chose Visual Studio 2003), and the script can then be debugged - and it has the Session and Session.Installer etc. set correctly.
I'd recommend setting the registry value back as soon as you've finished debugging, though, as otherwise you get the debug prompt whenever any jscript/javascript code is run from a web page!
James