The 'PBDbgPkg Package' did not load correctly

It's getting harder and harder to find answers when you encounter issues after installing Windows Embedded and its tools. The above error stumped me for a while, until I rediscovered that the Platform Builder Debug Package requires the Microsoft Visual C++ 2008 Redistributable package to work properly.

The link (including the later release SP1) can be found here.

Install both the x86 and the x64 versions and the error should disappear.