I have followed the instruction on the \"GMP Install Instruction for Windows Platform\". I could build a 32bit version of GMP which can be used for Visual Studio.
See http://gladman.plushost.co.uk/oldsite/computing/gmp4win.php , and note this paragraph;
GMP cannot, however, provide high performance 64-bit libraries on Windows because its 64-bit assembler code is incompatible with Windows x64 calling conventions. This means that 64-bit GMP libraries on WIndows are very slow when compared with MPIR, which has excellent 64-bit assembler support.
So you either disable assembly with ./configure --disable-assembly or use MPIR.