Step-1: Download source code.You can download source code of all release from http://ftp.gnu.org/gnu/gdb/$ wget "http://ftp.gnu.org/gnu/gdb/gdb-7.11.tar.gz"
Step-2: Extract it$ tar -xvzf gdb-7.11.tar.gz
Step-3: Configure and Compile it.$ cd gdb-7.11gdb-7.11$ ./configuregdb-7.11$ make This step will take a bit of time. So you can sit back and he cup of coffee for a while.Once it is completed, you can locate gdb binary located at gdb-7.11/gdb/gdb
Step-4: Install GDB.$ make install By default this will install gdb binaries in /usr/local/bin and libs in /usr/local/libCongratulation, you he successfully compiled and installed GDB.