I\'ve gone to http://sourceforge.net/project/showfiles.php?group_id=2435, downloaded the Automated MinGW Installer for MinGW 5.1.4 and at the same time the GNU Source-Level
In a command prompt I browsed to C:\MinGW\bin and ran:
mingw-get.exe install gdb
That fixed it for me. Not sure if it matters but I have C:\MinGW\bin in my path (guess I probably didn't need to browse to C:\MinGW\bin).