Finally i have success :)

This .sh file compiles w/o problems
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export GAMBCDIR_INCLUDE=/usr/local/Gambit-C/include/
export GAMBCDIR_LIB=/usr/local/Gambit-C/lib
gsc -link t.scm
export BUILD_EXE_OUTPUT_FILENAME=t.exe
export BUILD_EXE_INPUT_FILENAMES="t.c t_.c"
sh gambc-cc.bat exe
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Important: BUILD_EXE_INPUT_FILENAMES should be between quotes. The 'sh' required before gambc-cc.bat

Anyway using gambc-cc.bat directly is not the right way i believe.