I managed to get the MS vc++ toolkit to work in codeblocks and also Windows platform SDK and DirectX 9.0 SDK and its all working nicely. Getting it to work took me most of 2 days and its really ugly, in fact I can barely remember all of the settings I changed to get it to work!.
There is no dependency maker or build utility(make) with the MS toolkit so you still need use gcc to generate the dependencies and the make program. Both those tools can be found in the packages for Cygwin. The compiler message translator thingy in codeblocks doesnt work with cl.exe so you cant jump to lines with errors by clicking on the error message. Also I dont think there is anyway to use the MS debugging tools with codeblocks, though the MS debugger already has a nice gui(you will also need the debug symbols for it to work properly) As long as you have a good understanding of how cl, link, gcc and make work and all of the command line flags and options for them, then you should be able to figure it out in a day or so... heheh I cant be bothered explaining the details
To develop Windows apps properly, you also need the Windows platform SDK installed. You also need to set up a whole load of paths and environment variables including the paths for the platform SDK(lib and include), the Cygwin and MS toolkit bin directories etc.