Guillaume,
which version did you get? I remember there are a few hanging around, but Kirill Lisovsky has one that works well with Gambit out of the box.
I had to patch ssax-sxml-gambit-06052z,9.tg i.e. the latest version for Gambit-C on SourceForge.
In fact, after looking up "ssax Gambit" on Google, I found the following link ;)
https://webmail.iro.umontreal.ca/pipermail/gambit-list/2006-October/000884.h...
But if you read carefully (;-) you'll notice that it explicitly says it's for Gambit-C 3.0 (!), not 4.0. Also, Marc changed the default compilation settings since last June, which breaks the build process. Maybe it's because I'm on Windows/cygwin? I haven't tried it on Linux.
Cheers! Dominique