try disable omp

appveyor.yml

@@ -1,6 +1,7 @@
 environment:
   global:
    CMD_IN_ENV: "cmd /E:ON /V:ON /C .\\python-appveyor-demo\\appveyor\\run_with_env.cmd"
+   DISABLE_OPENMP: 1
 
   matrix:
     - PYTHON: "C:\\Python27-x64"

src/utils/omp.h

@@ -7,10 +7,10 @@
 #ifndef XGBOOST_UTILS_OMP_H_
 #define XGBOOST_UTILS_OMP_H_
 
-#if defined(_OPENMP)
+#if defined(_OPENMP) && !defined(DISABLE_OPENMP)
 #include <omp.h>
 #else
-#ifndef DISABLE_OPENMP
+#if !defined(DISABLE_OPENMP)
 // use pragma message instead of warning
 #pragma message("Warning: OpenMP is not available,"\
                 "xgboost will be compiled into single-thread code."\