[R] Remove dependency on gendef for Visual Studio builds (fixes #5608) (#5764)

* [R-package] Remove dependency on gendef for Visual Studio builds (fixes #5608)

* clarify docs

* removed debugging print statement

* Make R CMake install more robust

* Fix doc format; add ToC

* Update build.rst

* Fix AppVeyor

Co-authored-by: Hyunsu Cho <chohyu01@cs.washington.edu>

.gitignore

@@ -93,6 +93,7 @@ metastore_db
 # files from R-package source install
 **/config.status
 R-package/src/Makevars
+*.lib
 
 # Visual Studio Code
 /.vscode/