You can use the debugger in Visual Studio 2008 to step into some of the .NET Enterprise Libraries. This is a feature I asked for a number of years ago. Scott Guthrie just blogged about this. Here is his post and it includes the list of libraries to which this applies and some information about how to do it:

http://weblogs.asp.net/scottgu/archive/2008/01/16/net-framework-library-source-code-now-available.aspx

 Here is a short MSDN video about this:

http://www.microsoft.com/uk/msdn/screencasts/screencast/304/Debugging-Into-the-NET-Framework-Source-Code-with-Visual-Studio-2008.aspx