I don't know what is the problem you are experiencing. All I can say is that the following sequence works fine for me on Windows with MinGW: git clone http://github.com/feeley/gambit.git cd gambit ./configure make bootstrap
It works fine up to that point for me too. After `make bootstrap' README.md says to run `make bootclean' followed by `make'; it's that last `make' invocation that throws the error quoted in the subject line.
This is with Gambit's current repo (commit 66f120e1560ebc8f6f851ea453a1610b9ea160d1), Windows 7, gcc v3.4.5, MinGW v5.1.4 and git version 1.7.11.msysgit.0 . Could you please verify your versions? I don't think the versions matter much (except for Gambit and git), but who knows.
I'm at work now, but I'll post a follow-up with the version tonight.