Where can I get Mdbg?

Version 4 (for .NET 4.0) can be downloaded from

http://www.microsoft.com/download/en/details.aspx?id=2282

https://www.nuget.org/packages/MDbg/ is another location. Seems to be CLR 4 and has more options for the catch command then the Version 4

Mdbg - The .NET Framework Command-Line Debugger comes installed with the Windows SDK 7|10 as well as Visual Studio.

It's now available on Nuget too.

There is also the CLR Managed Debugger Sample which is a sample program that demonstrates how to build a command line debugger using .net.

Note that this is source code and does not come with pre-built binaries so you will have have the .net SDK or visual studio installed to be able to build it first. (It does now include prebuilt binaries in the bin/release folder after you've unzipped it)