Download and extract the latest WinDbg without installing so you can run on systems like Windows Server

Get-WinDbg.ps1

param(
    $OutDir = ".",
    [ValidateSet("x64", "x86", "arm64")]
    $Arch = "x64"
)

if (!(Test-Path $OutDir)) {
    $null = mkdir $OutDir
}

# Download the appinstaller to find the current uri for the msixbundle
Invoke-WebRequest https://aka.ms/windbg/download -OutFile $OutDir\windbg.appinstaller

# Download the msixbundle
$msixBundleUri = ([xml](Get-Content $OutDir\windbg.appinstaller)).AppInstaller.MainBundle.Uri

if ($PSVersionTable.PSVersion.Major -lt 6) {
    # This is a workaround to get better performance on older versions of PowerShell
    $ProgressPreference = 'SilentlyContinue'
}

# Download the msixbundle (but name as zip for older versions of Expand-Archive
Invoke-WebRequest $msixBundleUri -OutFile $OutDir\windbg.zip

# Extract the 3 msix files (plus other files)
Expand-Archive -DestinationPath $OutDir\UnzippedBundle $OutDir\windbg.zip

# Rename msix (for older versions of Expand-Archive) and extract the debugger
Move-Item "$OutDir\UnzippedBundle\windbg_win-$Arch.msix" "$OutDir\UnzippedBundle\windbg_win-$Arch.zip"
Expand-Archive -Path "$OutDir\UnzippedBundle\windbg_win-$Arch.zip" -DestinationPath "$OutDir\windbg"

# Now you can run:
& $OutDir\windbg\DbgX.Shell.exe