Where is your WindowsDebugger? It would have to reside on the machine that is running the program that is being fuzzed.
Also, what does your peach pit look like for the Agent entity? Does it look similar to something like this?
<Agent name="RemoteAgent" location="tcp://127.0.0.1:9001">
<!-- Run and attach windbg to a vulnerable server. -->
<Monitor class="WindowsDebugger">
<Param name="CommandLine" value="C:\Documents and Settings\Administrator\Desktop\vulnserver\vulnserver.exe"/>
<Param name="WinDbgPath" value="C:\Program Files\Debugging Tools for Windows (x86)" />
</Monitor>
</Agent>
You can also follow along with this blog post I wrote about using Peach 3 to fuzz a sample network server called VulnServer, http://rockfishsec.blogspot.com/2014/01/fuzzing-vulnserver-with-peach-3.html