If you would like this to run as it did in MFE then you will most likely want to generate .int or .gnt files.
Create a single project and set its type to all .int/gnt files as shown below:
The default is to create .int files.
If you wish to generate .gnt files instead then click the checkbox next to the "Compile to .gnt" option.
This will cause either an .int or .gnt file to be generated for each program source file in the project so add all of your programs to this project.
To configure the starting program to use when debugging under Debugging Configurations browse to the program that you wish to be the main program.
Now when you start debugging it will run the main program and you should be able to step directly into your sub programs when they are called.