For GUI .pdb debugging I have made some attempts to run Winedbg directly under KDevelop. As KDevelop Just pushes commands into gdb's stdin and in return parses stdout, With some relaxing of the parser code, I was able to get the stack frame and disassembly windows. This is do to the fact that Winedbg tries to keep the commands the same as gdb, and the output used to be similar as well. The more advanced stuff like setting breakpoints and watch variables failed miserably. But I was able to do those on the command prompt KDevelop provides as low level interface to "gdb". I was on my way to go in deeper and fix the C++ source debugging. Again by making the parser relax on the Winedbg output formating, but the Project canceled, and I never got to it. Since than Winedbg was completely changed, and I never attempted the same thing again.
in that case, it would be better IMO to make winedbg evolve so that its output and commands are the same as gdb, so you won't need to make each tool evolve to understand winedbg.
A+