Debugger for Windows VM

What debugger should I download and install for debugging the Windows
VM?  (I have a bug in my VI4 version).  I downloaded the latest source
and compile tools from squeak.sourceforge.net (Thank you Andreas Raab!).
 I downloaded and tried Cygwin Insight gdb 5.0 from
http://www.objectcentral.com/downloads.htm, but it complains that "this
executable has no debugging information" even though my VM compiled
successfully with the -g option included (the default in Andreas makefile).
I also downloaded the gdb source from http://www.gnu.org/software/gdb
but to compile it on Windows the Readme said I needed the DJGPP
development environment.  I this is what I will have to do?  Is there an
easier way?  Why doesn't Cygwin Insight gdb 5.0 work?

Thanks,
Anthony

P.S.  I'm not a Windows programmer.