The Keil simulator & debugger have no problems with interrupts; you can set a breakpoint in the ISR, and you can "manually" set the interrupt flag to "force" an interrupt.

(if you're using a Debug Monitor for in-target debugging, that may well impose restrictions - that's the beauty of JTAG!)

But BEFORE doing this, your should certainly read the uVision Getting Started Guide, and work through the example projects in it.
It will giude you in the proper use of the tools, and walk you through creating, building and simulating/debugging a Project.
Don't skimp on the foundations!