We investigate the microphases of diblock copolymers confined in a thin film with walls interacting with the polymer chains. We focus on the possible structures of copolymers that form cylindrical phases in the bulk. By employing self-consistent field theory. we obtain the concentration profile minimizing the free energy of the system. We present a phase diagram showing the possible microphases for a diblock copolymer with fixed volume fraction f = 0.35 and fixed segregation parameter chi N = 16 in dependence of the film thickness and the affinity of the walls for the minority monomer. This phase diagram contains only four types of phases, all of which call be understood its a combination of the cylindrical bulk phase and an increased covering, of the walls by the preferred monomer type. Other phases, in particular perforated lamellae or several layers of conventional lamellae. are found to be unstable in the investigated parameter regmie, when the accuracy of the algorithm is chosen high enough. We perform a careful analysis of the effects Of numerical accuracy and compare our work to previous studies that reported perforated lamellae to be a stable phase.