Run a debugger on MinGW compiler

Hi all. I create many programs written in C++, using MinGW compiler, (especially with Qt) but I want to deepen on compiling. For me this is the most beautiful part of programming, so I want to understand better, how the compiling is done.

MinGW is free and open source. Can you advise me how can I run a debugger on this compiler? I download its code from this link: http://www.mingw.org/category/wiki/source_code

What is all the process of building - compiling this project from its code, and how to run a debugger on this?

Thanks in advance.
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