As I recall, eclipse and xdebug have a pretty complex relationship so there are a lot of settings. somewhere in there, one of them allows you to automatically break on the first line of PHP code. I think it's a checkbox somewhere. Sorry, I know this is not particulary helpful.
A different problem you may be having is that you might not have eclipse/xdebug configured properly. For the longest time I was having a problem where my php scripts would never stop on a breakpoint. I ultimately traced it back to the PHP.ini settings for xdebug or something like that. Have you succesfully managed to debug any scripts at all yet?