I have a blog post which walks through all the details of getting C# projects building in Vim, including the error format. You can find it here: http://kevin-berridge.blogspot.com/2008/09/vim-c-compiling.html
In short you need the following:
:set errorformat=\ %#%f(%l\\\,%c):\ %m
:set makeprg=msbuild\ /nologo\ /v:q\ /property:GenerateFullPaths=true