As for the nightly build, please download:
1. the program archive
2. the wxWidgets DLL
3. the mingwm10whateverititscalled DLL
Unpack all into the same location.
As for MinGW with GDB:
Go to our WiKi, and type "mingw" into the search box. You'll get to a page that lists every packaged that you could possibly need for a complete manual install.
Download all from "base system", plus any other languages you want, plus GDB. Put everything into one folder (except for GDB, which is an installer exe), select all, right-click, and select "unzip here".
Then run the GDB installer and delete all files that you downloaded.
Takes about 5 minutes alltogether (unless you have an extremely slow internet connection).