I've gone to http://sourceforge.net/project/showfiles.php?group_id=2435, downloaded the Automated MinGW Installer for MinGW 5.1.4 and at the same time the GNU Source-Level Debugger Release Candidate: GDB 6.8-3. I've then installed MinGW base tools into C:\MinGW. No problem so far.
However when I come to install the gdb debugger it has a lot of files and folders with the same names as some already installed but the files are different to those already installed. e.g C:\MinGW\include\bfd.h is 171 KB but gdb-6.8-mingw-3\include\bfd.h is 184 KB.
How do I add gdb to MinGW without breaking what's already installed?
In a command prompt I browsed to C:\MinGW\bin and ran:
mingw-get.exe install gdb
That fixed it for me. Not sure if it matters but I have C:\MinGW\bin in my path (guess I probably didn't need to browse to C:\MinGW\bin).