OK, so I solved this problem. I am COMODO Internet Security user too.
Firstly I have downloaded Mark Russinvoch's program AutoRuns
http://technet.microsoft.com/ru-ru/sysinternals/bb963902.aspx, then I openned it, followed to AppInit tab and disabled guard32.dll.
Then I openned Comodo window, on Defense+ tab I clicked "My protected files", then "Groups..." button, found guard32.dll in "Comodo files/folders", have deleted it from list.
After it still on the "Defence+" tab I openned "My own safe files" item, and added lazarus.exe and /mingw/bin/gdb.exe from Lazarus folder.
On "advanced" tab at left I add them too to the "Computer Security Policy" as "Installer or updater" (max permissions).
Finally, I rebooted and gdb debugger began to work properly! :3