In order to connect Insight to Visualboy advance you need the SDL version of VBA which can be found in the downloads section. Please note that versions of VBA later than 1.7.1 appear to have trouble with the gdb interface and are next to useless for this purpose.

While it is perfectly acceptable to run the emulator from a command line with the appropriate parameters it is more convenient to set up a shortcut for ease of use. To do this right click on vba.exe and select Create Shortcut from the pop up menu that appears which should look similar to the picture on the right. This should create a file in the same directory called "Shortcut to vba.exe" that should now be edited to provide the parameters that set up a listening port for Insight/Gdb.

Right click on the shortcut and click properties, you should see a dialog box like that shown on the left. In the Target box add -Gtcp at the end of the line, you can also add -2 as has been done here - this doubles the size of the vba window so the display is 480x384 instead of the standard 240x160.