How to get Qt Creator to work with CDB?
Install the microsoft SDK for windows 7 (version 7.1 or later) and check the box for debugging tools for windows. Make sure you selected the msvc version of Qt, not mingw. As long as you have the debugging tools for windows installed the next time you go to debug your application it will prompt you to set up symbol server- click yes and then you are all set.
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.