Install with modgit:
$ cd /path/to/magento
$ modgit init
$ modgit clone debug https://github.com/jreinke/magento-debug.git
or download package manually here and unzip in Magento root folder.
Finally, clear cache.
Is is recommended to ignore this module files. Add this to your .gitignore file:
app/code/community/Bubble/Debug/*
app/code/local/Zend/Db/Adapter/Pdo/Abstract.php
app/etc/modules/Bubble_Debug.xml
shop.example.com/apparel.html?debug=1
shop.example.com/apparel.html?debug=perm
shop.example.com/apparel.html?debug=0