first of all: windows ??
which version of windows? 64 or 32 bits?
Lazarus 32/64 bits?
Then do you have an antivirus? sometimes they cause issues. If you can try to temp disable it, or put lazarus, gdb and your newly compiled project on the exception list.
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You say F7/F8 do not work....
Unless your app is a console app, you need to start with F9 and reach a breakpoint first (F7/F8 would (if anything) take you somewhere into LCL or RTL....)
Next, if you set a breakpoint, and then run with F9, does the breakpoint stay in its red color, or does it get another color (orange-ish)?
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You can try to switch between stabs and dwarf (project options / debug info / their is a dropdown)
If nothing helps, the provide a logfile
http://wiki.lazarus.freepascal.org/GDB_Debugger_Tips#Log_info_for_debug_session