Is it possible to debug programs hosted on Windows compiled by cygwin gcc using the Visual Studio debugger?
Not really - the debugging formats of the GCC and MS compiler are different. You should be able to use the MS debugger in machine code mode, but you will not see all class names and variables, etc.
If you want to use the MS debugger because you find that gdb is too intimidating, you can get a pretty nice GUI for it at http://sourceware.org/insight .
cygwin has gdb - use this.