Well, that's an odd sight. Kanji and backslashes in the same cmd.exe window...
Anyway, you should be able to debug a DLL if you included debug information in it (it includes such things as paths to the source files, symbols, etc.). Check your project options and look for something like "include debugging information".
If Dev-C++ was able to compile it, VC++ should also be able to do it. You must have set up something wrong.