In order to try out mdbg, I have the following simple hello world program:
// kkk.cs
using System;
class HelloMain
{
    static public void Main()
    {
        Console.WriteLine("Hello");
    }
}
Compile it with csc /debug kkk.cs, this yields:
kkk.exe kkk.pdb
I then do (from the visual studio command line):
mdbg kkk.exe
or
mdbg !r kkk.exe
I got:
Error: The request is not supported. (Exception from HRESULT: 0x80070032)