The general rule for compiling XS code is that you must use the same compiler that was used to compile your Perl. So you will have to either use a gcc compiled Perl, and use that (version of) gcc to compile your XS module, or use the MSVC compiler.

If the library uses the proprietary gcc extensions or weird macros and the like, you might want to consider to stay on the gcc side, or you might want to adapt the used header files to make libsvm work under Win32 as well.