No there is no .out file in the zip folder so I thought it might have been missing but the fact that you are able to download the zip and debug the files must mean that you are generating the .out files when you debug it. And to enter the debug, I am simply clicking the bug symbol on the top left.
And I might try run CCS at home and see if that makes any difference as I am running the software at my uni and although I have admin rights it may still be stopping something with the CCS debugging process.