question about using gdb in emacs

["Li, Jindong \(GE Infrastructure, Non GE\)" <jindong dot li at ge dot com>]

I am using emacs 21.3. I want to use gdb in emacs. I did the following:
1. open emacs
2. go to my application directory
3. M-x shell to start shell
4. If I type "gdb" in the shell prompt, the gdb window was opened. 
    But I don't want to use gdb this way (but this proves that "gdb" is recognized by the shell).
5. type the command `M-x gdb' followed by `Return'
6. The Emacs message bar will now display the message:
	Run gdb (like this): gdb
    Enter the name of my executable program test.exe
7. I got the erro message: 
    searching for program: no such file or directory, gdb

Question:Why "gdb" is not recognized in the second way?

I used gdb in emacs a lot before. The only change here is I just installed the emacs 21.3. Was it something I set wrong?


Thanks.


jli