Getting Xdebug to work with Dev Desktop
Well to address your concern about which version to download, if the instructions state Program Files (x86) then you want the 32-bit version of the dll. I'm not sure VC++ 9 or VC++11 should matter. As far as thread safe, you should check phpinfo() in your DevDesktop environment to make sure it's thread safe or not.

The XDebug site has a nifty wizard form where you can copy/paste your phpinfo() into it and it will point you to the version you need.