I've well seen that MS compiler is not supported in Code::Blocks
Why do you think so? What I've tried to compile with MS VC++ compiler have worked...
For the debugger there is some support, but it is very limited as MS doesn't provide debugger meant for integration in other IDEs.
What you need is Debugging Tools For Windows (CDB.exe is required), a nightly build of C::B and some playing around with the settings.
Generally if it is not a MS VC only problem I suggest to debug it with cb+gdb it will be a lot easier.