To examine a core dump on remote Unix machine, use the Examine core dump command from the WinGDB menu. The following dialog will appear:
Most of the options are the same as described here and here. The option specific to the Core mode is the core path field, where you specify the path to the file you want to examine (you might need to enter the login information on the General page first). This should be the full path to the core dump you want to examine. The core file is supposed to be located on a debugging host, as the debugger must have access to it. That means in indirect or embedded modes you have to copy it from the target machine. Currently you have to do it manually.
GDB also needs to read the original executable file, so that you will need to specify the path to it on the Debug page.