Here is the steps we performed to debug the memory dump:

1. Downloaded and installed the current “Debugging Tools for Windows 32-bit version” from http://www.microsoft.com/whdc/devtools/debugging/installx86.mspx, choose “typical”.
   
2. Launch the debugger via Start -> All Programs -> Debugging Tools for Windows -> WinDbg
   
3. Set the symbol file path:  File -> Symbol File Path.  From http://www.microsoft.com/whdc/devtools/debugging/debugstart.mspx: For example, to download symbols to c:\websymbols, you would add the following to your symbol path:  SRV*c:\websymbols*http://msdl.microsoft.com/download/symbols.  I simply copied and pasted SRV*c:\websymbols*http://msdl.microsoft.com/download/symbols into the Symbol Search Path and then created a directory called “websymbols” on the root of the C drive.  You don’t have to create the folder, the debugger *should* create it for you when it connects.
   
4. I placed the check next to “Reload” and clicked OK.
   
5. Load the dump file:  click File -> Open Crash Dump and browsed to the memory.dmp
   
6. Clicked Yes to “Save Information for Workspace”
   
7. Sit back and wait. 
   
8. Take a quick look in c:\websymbols, you should see some stuff (symbols) appearing in this folder
   
9. After some time (one minute to 5 minutes, ymmv), the debugger will be done loading and you will see “0:  kd>” in the small grey window at the bottom left of the screen.
   

Note the debugger does not *have* to be installed on the server itself.  All you have to do is have local access to the dump file.  You could copy the dump file to a Windows XP workstation and install the debugging tools on the workstation rather than the server.