Since EMX is compiled with gcc, you'll need a debugger that supports gcc symbols - there's only one (and it rocks) it's gdb.
(oh my god, it's text mode!)
It's not as intuitive as DevStudio/Borland/your favorite but it still does the job. And it's not that hard, really. b %hexaddr% for break, list to see the sources, step and next for tracing, cont (or c) for continue, display %variable name% to watch a variable and print %variable% for a quick watch.
If you absolutely need a frontend for gdb, then what you want is ddd. However, that means to port all the libraries it needs to the /2 - especially lesstif, the Motif clone.