1. Put the pygdb directory to somewhere, lets call it
2. Add the following lines into your ~/.gvimrc:
python << >>
import sys
#Do not use a ~ for home directory
pygdbdir = ""
sys.path.append(pygdbdir)
>>
autocmd BufRead *.c* source /pygdb.vim
autocmd BufRead *.c* call GDBMapDefaults()
where you replace by the corresponding path of pygdb. You may want to
add to the environment variable PATH resp. PYTHONPATH such that you
cou can call pygdb from console by hand.