Hi,
You can try using the Quick Debug feature. You can point it to the gdb executable and the debugged executable on the FreeBSD machine, and then configure source path mappings to help it locate the sources on the Windows machine.
That said, FreeBSD debugging is not 100% compatible with Linux and we do not regularly test VisualGDB with FreeBSD due to a much smaller number of users. Most common functionality should work fine, but there might be glitches here and there.