Microsoft debug information provider allows your application to extract debug information from Microsoft's formats. It can be DBG or PDB format. It's stored in standalone .dbg and .pdb files.
Use Microsoft format when you want to use other non-Delphi related tools which can understand MS format, but do not understand Delphi debug formats (such as Process Explorer or WinDbg). You can create debug information in MS format for your project by using freeware map2dbg and tds2pdf tools.
This provider requires Microsoft DbgHelp.dll to be present. You can get it either from Microsoft Debugging Tools or from \Bin and \Bin64 subfolders of EurekaLog installation. You should deploy this DLL with your application. Use DLL of corresponding bitness. Do not install this DLL to system folders.
Note: you can use MS debug format to get information for system DLLs. By default Windows comes in release version without debug information for its DLLs (so-called "free build"). This prevents you from getting proper information. In fact, you only can get heuristic information based on DLL exports. However, you can ask Microsoft for debug information and get full coverage for Microsoft DLLs. See this article for more information.
An alternative for this provider and your own custom DLLs is converting PDB/DBG debug information into EurekaLog debug information as explained in this article.