After reading the problem with debugger in another question, I am curious if there is a documented way to install third parties debuggers.
If you did not understand, take a look at Tools->Options in Debuggers Options there’s a Registered Debuggers pane. How can I integrate another one that are not listed there?
You shouldn’t have to integrate yourself any third party tool… The tool itself should integrate itself during its installation or later with an option… Usually, you have to close Delphi.
For instance, Embarcadero installs the default debuggers…
Then, AQTime, during its setup, does the same…
Then, as you’ve seen it, if the integration is done as expected, you can see them:

And so on… you can find other tools (check the date/version before trying one of them) on this page.
Update:
I don’t know what you should call… but you have to start with an import:
