Since your Qt is compiled with MSVC the best option is indeed CDB (for GDB you would need, for example, a MinGW compiled version).
Debugging should be out of the box. One first point I could think is whether for some reason Qt Creator doesn't see your debugging tools for Windows. Have you made sure that the path (and the version) for it is correctly specified in the CDB options page?
Also, have you considered switching to Qt Creator 2.1 (it has a lot of improvements in the area)? Or even better, a self-compiled version of the 2.2 branch, which includes a total refactoring of the CDB engine.
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