Manu,
If you launch natron from the command-line, you should see the messages there.
OFX::log() logs by default to a file names ofxTestLog.txt, which may be located next to natron.exe or in the plugins dir, I don't remember. Look for that file.
I don't have a windows machine, so I can't help you more.
Natron is built with MSYS/MINGW, and I don't know if the VS debugger can be attached to an MSYS/MINGW binary. Try google.
Maybe Windows users will be able to help you