Does gdb.exe exist in the bin folder under the MinGW GCC Installation directory?
If not, you did something wrong.
IIRC, the steps to do it right.
1. Install 7-zip
2. Download the GDB Bin file from MinGW
3. Move GDB Bin file to MinGW Installation folder
4. Right click of file and choose extract here
5. Right click on created .tar file and choose extract here
6. Verify the GDB.exe exists in bin folder.
Tim S.