I have installed Eclipse CDT and CDT Visual C++ Support (from the Yoxos Marketplace).
This lets me compiled and run a C++ application, however, I cannot debug it.
As far as I know you can't debug Visual C++ applications using gdb which is only supported by CDT plug-in.
Debugger for Visual C++ toolchain is called CDB and you have to search for the tool that can use it. For sure Visual C++ IDE (even from Express Edition) can be use to debug application that are compiled under Eclipse+CDT. I think that also some nightly builds of CodeBlocks IDE can cooperate with CDB.