You can set breakpoints directly on a memory location in the Memory window. Right-click in the window and choose the breakpoint command from the context menu that appears. To set the breakpoint on a range, select a portion of the memory contents.

The breakpoint is not highlighted in the Memory window—instead, you can see, edit, and remove it using the Breakpoints window, which is available from the View menu. The breakpoints you set in the Memory window will be triggered for both read and write accesses. All breakpoints defined in this window are preserved between debug sessions.