Two things here:
1) There is no "Visual Studio 2006". There is a Visual Studio 2005, which is what I assume you're using.
2) There haven't been "DirectX Extensions" for Visual Studio in about 2 years now. The about box only indicates the presence of the abiity to debug using the DIrect3D de****.
3) Debugging HLSL is no longer supported in VIsual Studio. Shaders should be debugged using PIX. Yes, we know source-level debugging isn't available yet in PIX. We're working on it.