Remote debugging is hard. I'll tell you the first steps, and ask you to look at "Run and Debug" for a thorough explanation of the rest.
The first step is to configure SlickEdit to use your GDB executable, especially if you are doing remote debugging, since presumably, your target is a different than what you are running locally. To do this, go to "Debug > Debugger Options...", switch to the "GDB Configurations" tab, and click "Add..."
The second step (for remote debugging) is to go to "Debug > Attach > Attach to Remote Target using GDB", put in the IP address and port for your remote gdbserver (which you need to have ready and awaiting connection), make sure that you select the correct GDB configuration, and give it the local path to the executable to get symbolic debugging information from, and then you can connect.
Everybody's remote debugging environment is different, so that's about as far as I can help you now.