The Intel® Debugger is included with the Intel® C++ Compiler, but installation is optional. The Intel Debugger (idb) includes an environment script, idbvars.sh, which you need to run before executing idb:
source <idb-install-dir>/bin/idbvars.sh
See the "Intel® Debugger (IDB) Manual" for complete information on using the Intel Debugger.
You can also use the GNU Debugger (gdb) to debug programs compiled with the Intel C++ Compiler.