If you are wondering why you should use windbg over Visual Studio, then you need to read Advanced Windows Debugging. Any time you need to debug a truly ugly problem windbg has better technology to do it with than Visual Studio. Windbg has a more powerful scripting language and allows you to write DLLs to automate difficult problems. It will install gflags.exe, which gives you better control over the heap for debugging memory overwrites.
You don’t actually need to run the install, you can just copy the files over and be ready to go. Also it installs adsplus.vb, so you can take mini-dumps of running processes. It is also very easy to setup to perform remote debugging. There is nothing better than being able to debug a problem from your own desk instead of fighting the 15″ monitor that flickers on a test PC.
For day to day code writing I use Visual Studio, but once you need to start debugging problems from other computers or find yourself in a very ugly situation, windbg is the only way to go. Spending some time learning windbg is a great investment. Also if you look at crash dumps there are two great resources, http://www.dumpanalysis.org/blog and http://blogs.msdn.com/ntdebugging/default.aspx that do all their debugging using windbg.