This should also work on Windows if you install gnumex
(http://gnumex.sourceforge.net/) in combination with the MinGW compiler.
But when useing windows, do not debug matlab from start, instead start
matlab, execute your mex file (in order for matlab to load the
corresponding dll !!!)
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Tip: make shure that your mexfile "return;"s if for instance
"nlhs==0"... so you can execute (and thus load) the mex file without
harming matlab: This is usefull if you want to debug Segmentation
Violations etc...
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then attach with eclipse to your MATLAB process, set your breakpoints
etc... resume matlab and call your mexfile again with the appropriate
parameters