From my experience I can tell that TDM/GCC v4.7.1 and Direct/X11 works just fine with Code::Blocks. The MS 2008 and 2010 compiler will do, too - I don't have access to any different version. But I don't see and reason why it shouldn't work with other MS compilers, too.
Of course you should consider that Direct/X 11 is rather new, so it probably won't work with compilers released ways before Direct/X 11, including MS compilers like VC6.