It's possible to put windows side-by-side, so you can change the focus by moving your mouse. Or to run msbuild from within vim.
But, yeah, there's really no good debugger for .NET / CLR programs on Windows. WinDbg with SOS (or whatever they're calling the managed-code debugging extensions these days) really isn't viable; I use WinDbg for native-code debugging on Windows but it's largely useless for managed code. I don't think mdb is even supported anymore and it was always only marginally usable at best.
When I have to debug, I use Venomous Studio, much as I loathe it. It's uniformly terrible, but it's the only thing I've found that works, at least for the sorts of things I have to debug.
Of course, a lot of the managed code I'm debugging is written in managed modern-syntax OO COBOL, which source-language-sensitive debuggers will have trouble figuring out. (Visual Studio can because of our extensions, obviously.)