1. Put the pygdb directory to somewhere, lets call it <dir>
2. Add the following lines into your ~/.gvimrc:

	python << >>
	import sys

	#Do not use a ~ for home directory
	pygdbdir = "<dir>" 
	sys.path.append(pygdbdir)
	>>

	autocmd BufRead *.c* source <dir>/pygdb.vim
	autocmd BufRead *.c* call GDBMapDefaults()

   where you replace <dir> by the corresponding path of pygdb. You may want to
   add <dir> to the environment variable PATH resp. PYTHONPATH such that you
   cou can call pygdb from console by hand.