Looks to me like you are trying to debug a 32-bit app using the 64-bit version of GDB (or vice-versa, you don't mention what you are using). Debug > Debugger Options... > Configurations, and then add your 32-bit MingW GDB executable to the list.
FYI, this is a GDB limitation, multi-architecture support lags for GDB on Windows, it always has.
Of course, I'm just guessing here. The screenshot alone doesn't really help me reproduce the problem. What helps is an example C++ source file (and project) plus steps to reproduce the problem.
