I just tried to start two gdb sessions in one CVS Emacs session for
the first time (I've done this many times in Emacs 21). I got the
error message:

 "gdb: Multiple debugging is only supported with "gdb --fullname"

So I dutifully added "--fullname" to the gdb command line:

    gdb --annotate=3 --fullname gds-main_models_test.exe 

and got the same error message. I read the GUD and GDB entries in the
Emacs manual, and the help message for `gdb'; no success. Finally I
read the Emacs lisp source code for gud, and found this comment in
gud.el (gud-gdb-marker-filter):

    ;; Check for annotations and change gud-minor-mode to 'gdba if
    ;; they are found.

It seems the real issue is the presence or absence of "--annotate=3",
not the presence of "--fullname". In fact, "--fullname" is not
necessary if compilation-search-path is set to include the source
directories.

So I suggest the attached patch to the Emacs manual (building.texi)
and a couple gud doc strings.