Can Execute trigger in SQL Server 2008 R2
I'd put this in a comment but I want to give pictures.

My guess is that you are hitting the little green arrow, or DEBUG button



Instead of the red exclamation point, or RUN button.



It's a fairly common mistake.  FYI you can also hit Ctrl-E to "execute" the script or Alt-F5 to "debug" it.  The TSQL debugger requires elevated rights (sysadmin if I remember correctly) and as you saw doesn't work in versions prior to 2008.