Hello,
May be I am wrong, but I am not sure that you can use Cygwin. I was wrong. From a quick search in the forum, it seems possible to use Cygwin, at least for compiling. May be to solve your gdb issue you have to add a library(ies) to your settings.
Anyway, from what I can read, there is a problem with
Warning: /cygdrive/c/temp/hello/C: No such file or directory.
Are you sure that you set up correctly all the pathes?
Best wishes,
Michael