The GDB window provides direct interaction with the GDB debugger. In it, GDB commands can be typed as they would be typed in GDB. The response of GDB will be shown in the window.
Some more information on using GDB can be found in section 10.2, page 476, but the final reference is of course the GDB manual itself 3. The GDB window is shown in figure (6.16).
3Available from the Free Software Foundation website.