If you are using Visual Studio and you want to debug a windows service, you may recieve the following message:

Cannot start service from the command line or a debugger.  A Windows Service must first be installed (using installutil.exe) ...

There are ways to avoid this message and this site provides a good approach http://www.worldofasp.net/tut/WindowsService/Creating_Windows_Services_in_NET_99.aspx

I have also found that in Visual Studio if you have a break point set within your service and you run the service in debug mode you can just leave the message pop up in place.  Basically, if you get the pop up, but do not click out of it, just leave things as they are and wait for the first "tick" in your service, it will then run and hit your break point.  This seems to be a work around and hopefully if you are in a pinch and need a quick way to debug a service, this will work for you.