For a current status, have a look at the regression tests.
MSM was successfully tested with:
VC8 (partly), VC9, VC10
g++ 4.0.1 and higher
Intel 10.1 and higher
Clang 2.9
Green Hills Software MULTI for ARM v5.0.5 patch 4416 (Simple and Composite tutorials)
Partial support for IBM compiler
VC8 and to some lesser extent VC9 suffer from a bug. Enabling the option "Enable Minimal Rebuild" (/Gm) will cause much higher compile-time (up to three times with VC8!). This option being activated per default in Debug mode, this can be a big problem.