[R] Error out when trying to compile with MSVC

[david-cortes]

ref #9810
ref #11145

This PR makes it throw a compilation error with a clear message when a user tries to build the R package with the MSVC compiler. Hopefully this should save users some headaches as they'd otherwise run into runtime segfaults if the package gets compiled with MSVC.

[trivialfis]

The error looks good, but did you compile the R package with MSVC successfully? With the latest R, I couldn't compile the package at all with MSVC being confused by R's header files.

[david-cortes]

The error looks good, but did you compile the R package with MSVC successfully? With the latest R, I couldn't compile the package at all with MSVC being confused by R's header files.

I haven't tried compiling with MSVC. It fails due to other reasons before reaching the compilation stage.

[trivialfis]

It fails due to other reasons before reaching the compilation stage.

Somehow feels right.

I revised the CMake script for R a few years ago and got it running on the CI with an old R version. I think it's time for us to move away from that now. I couldn't get MSVC to work with the latest R.