Try quoting the generator variable.
diff --git a/.appveyor.yml b/.appveyor.yml
index 22c4e00..6432ec5 100644
--- a/.appveyor.yml
+++ b/.appveyor.yml
@@ -33,5 +33,5 @@
   - type NUL >.devel
   - md build
   - cd build
-  - cmake -DCMAKE_PREFIX_PATH=c:\projects\libpcap\Win32\%SDK% -G%GENERATOR% ..
+  - cmake -DCMAKE_PREFIX_PATH=c:\projects\libpcap\Win32\%SDK% -G"%GENERATOR%" ..
   - msbuild -nologo -p:Configuration=Release pcap.sln