1. Put the pygdb directory to somewhere, lets call it <dir> 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 = "<dir>"
	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 <dir> by the corresponding path of pygdb. You may want to
   add <dir> to the environment variable PATH such that you can call pygdb
   from console directly.