Vim (out of necessity, because it runs in the terminal) and GVIM (for consistency) use a cell-based addressing scheme, so they require a fixed-size matrix of screen cells. On Windows GVIM, you even can only use fonts that are fixed-width.
Therefore, the only way to influence the perceived spacing between letters is through the selected font (and its size). If you feel that the letters are too far apart, you need to either edit the font (to reduce the width of all characters), or choose another one.
GVIM does allow to tweak the vertical padding between screen lines through the 'linespace'
option, though.