Good idea Morton,
I checked with both the 64-bit and 32-bit version of Dependency walker. It seems I should use the 32-bit one, because GDB.exe is a 32 bit app.
Well it claimed it was missing to dependent dll-s :
1) msjava.dll ---> this is not needed, blablabla
2) devmgr.dll
When doing the same thing on my 32 bit winXP (on a 32 bit machine), only the msjava.dll issue remained. The devmgr.dll does exist on winXP64, but it's the 64-bit variant, so it does not work with that. All other dependent dll's for GDB.exe are placed in a "wow" directory, but that devmgr.dll is not there. I tried to copy my 32bit version next to GDB.exe, but that did not help.
Stupid me, I forgot to copy it in that "wow" dir, so that's still something to test.
And the search goes on ....