Same problem here on Windows XP Professional x64 Editon.
View -> Debug windows -> Debug output
...
(gdb)
<-exec-run>
^running
(gdb)
&"Error: dll starting at 0x78d41000 not found.\n"
&"\n"
I search my Lazarus directory for DLLs, the only ones I found were:
cygiconv-2.dll
cygncurses-8.dll
cygwin1.dll
They are all in ...\Lazarus\pp\bin\i386-win32.
I'll download GDB from the MinGW project, I've seen GDB 6.3 there, Lazarus comes with GDB 6.0, why?
I'll download both versions and give it a try, searching DLLs ...