TxStrob, you got a suggestion but not an explanation.
"Step Into" won't work unless you took all the prior steps to get you to the point where the next step is into the procedure. You can speed up the process of getting there by setting a breakpoint on the previous executable instruction, or on the procedure call itself. From that point, "Step Into" has a chance of working.
If you set the breakpoint and it still doesn't occur, there is a chance that your code logic just doesn't get there i.e. program flow avoids that point. Remember that the function keys are "Step Into" not "Jump Into" so take that into account when debugging.
June7 points out that you can force the effect of a Jump Into - but remember that if your code was busy setting up a proper context for what you were trying to do, that Jump Into trick might not work anyway.