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
Usually for installing gdb in windows, You have to 2 ways to install:
1) use ready-made binaries that were build and compiled from GNU gdb by some provider (easy to install)
2) use minimal mingw or cygwin package then after install gdb inside it.
Open cygwin or mingw terminal and just type the following to make sure it is already installed
$ gdb --version
REF: http://rpg.hamsterrepublic.com/ohrrpgce/GDB_on_Windows