Two notes:
I skipped over the part where it says GDB only works with GCC compilations- DOH! Ok, I can live with that ;-)
The second thing is when I right-click on the Console Application and set either Build Options or Properties, eventually navigating to the menu which looks like the Compiler Selection Menu, the Programs tab is missing! Maybe this means something- and it would certainly explain why it can't find the name of the debugger executable...
But when I go through Settings --> Compiler, I do see the Programs tab, and the debugger executable is set properly.
P.S. Is there a generic debugger that works with DMC?