OK, here is your tutorial:
1. Get a recent version of Code::Blocks. Recent means either build your own from HEAD or use a binary snapshot made available by Ceniza or Therion.
2. Make sure you use gdb 6.3, not 5.2. Although 5.2 is the officially "recommended stable" version, it sucks. Code::Blocks is developed for 6.3, and while 5.2 might work, 6.3 will work certainly.
3. Set breakpoints by clicking on the side bar, you will see red dots. Breakpoints inside constructors are not yet supported, except for that, you can do just what you want -- even breakpoints in plugin dlls and system headers work fine.
4. Click on "debug/continue" and lean back. It takes a while to start up (that's normal).
5. Then step or continue or do whatever you want. Move the mouse over a variable to see popup info, or use the symbols tree to the left. In the debugger menu, you have access to a backtrace and the cpu registers (in some submenu, forgot its name). Clicking at a line in the backtrace moves you to that position.