1. Put the pygdb directory to somewhere, lets call it
in this help file.
2. Add the following lines into your ~/.vimrc:
"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""
" pygdb
"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""
autocmd Filetype c,cpp :python import sys
autocmd Filetype c,cpp :python import vim
autocmd Filetype c,cpp :python pygdbdir = ""
autocmd Filetype c,cpp :python sys.path.append(pygdbdir)
autocmd Filetype c,cpp :python vim.command("source %s/pygdb.vim" % pygdbdir)
autocmd Filetype c,cpp call GDBMapDefaults()
where you replace by the corresponding path of pygdb. You may want to
add to the environment variable PATH such that you can call pygdb
from console directly.