When the error happens, you should try and press F9 again => this may work, and the app may continue to run, and you may be able to debug.
Also I assume in the project options (linker tab), you have set to compile with gdb info?
either -g or -gw (I recommend dwarf -gw)
If you have troubles, then maybe try not to use external symbols in the settings.
Otherwise there are a great many reasons that could cause this error (search this forum).
1) It could be your anti virus software
2) You use xp, do you have (or at any time had) any Visual-net/c/basic whatever Microsoft IDE installed?
Just asking, because some other people had that; I was never able to prove a connection though.
While I would assume that your download included a recent version of gdb, you can try different versions by downloading them from the mingw home page.
The default version of gdb seems to work on most windows systems, but there can always be exceptions.
Recommendable versions are: 6.8.3, 7.0 , 7.1 or later
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If nothing helps, please look at the View-menu => debug windows entry, and check "debug output". This should open a window, with information you can attach here.
It may help tracing the issue