MSVC toolchain is not supported. Please use GNU toolchain

As well as Ömer Erden's answer it is worth pointing out that Jetbarins now has an article about how to configure Clion for Rust complete with some tips on what settings are applicable to Rust development.

Debugging Rust Code in CLion

Particularly this paragraph is relevant to the question:

On Windows, go to Settings | Build, Execution, Deployment | Toolchain and set either Cygwin or MinGW as your working environment. Then, run rustup toolchain list and check the first line: it should be one of the gnu versions matching the bitness of the debugger. For example, if you’re working on MinGW (32-bit), the default toolchain should be i686-pc-windows-gnu. If you’re on MinGW64, it should be x86_64-pc-windows-gnu. You can set the appropriate toolchain by running rustup default <toolchain_name>.

Error message is related about Rust toolchain, if you haven't you need to install GNU based toolchain for Rust (before installing please make sure that you are choosing the valid gnu based toolchain for your environment, if you are not sure please read the Note section).

> rustup toolchain install stable-x86_64-pc-windows-gnu

Then after easiest way to solve this problem set it as default toolchain

> rustup default stable-x86_64-pc-windows-gnu

Note : Toolchain stable-x86_64-pc-windows is selected as an example; it is a solution for 64-bit Windows via stable channel, another toolchain needs to be used for different architecture(Details: please follow the official jetbrains guide from other answer), also you are free to use nightly or beta.