Prepare for improving Windows networking compatibility. (#8234)

* Prepare for improving Windows networking compatibility.

* Include dmlc filesystem indirectly as dmlc/filesystem.h includes windows.h, which
  conflicts with winsock2.h
* Define `NOMINMAX` conditionally.
* Link the winsock library when mysys32 is used.
* Add config file for read the doc.

tests/cpp/common/test_column_matrix.cc

@@ -1,7 +1,6 @@
 /*!
  * Copyright 2018-2022 by XGBoost Contributors
  */
-#include <dmlc/filesystem.h>
 #include <gtest/gtest.h>
 
 #include "../../../src/common/column_matrix.h"

tests/cpp/common/test_config.cc

@@ -1,11 +1,13 @@
 /*!
  * Copyright 2019 by Contributors
  */
+#include <gtest/gtest.h>
+
 #include <fstream>
 #include <string>
-#include <gtest/gtest.h>
-#include <dmlc/filesystem.h>
+
 #include "../../../src/common/config.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
 #include "../helpers.h"
 
 namespace xgboost {

tests/cpp/common/test_hist_util.cu

@@ -1,26 +1,25 @@
 /*!
  * Copyright 2019-2022 by XGBoost Contributors
  */
-#include <dmlc/filesystem.h>
 #include <gtest/gtest.h>
+#include <thrust/device_vector.h>
+#include <xgboost/c_api.h>
+#include <xgboost/data.h>
 
 #include <algorithm>
 #include <cmath>
-#include <thrust/device_vector.h>
 
-#include <xgboost/data.h>
-#include <xgboost/c_api.h>
-
-#include "test_hist_util.h"
-#include "../helpers.h"
-#include "../data/test_array_interface.h"
-#include "../../../src/common/device_helpers.cuh"
-#include "../../../src/common/hist_util.h"
-#include "../../../src/common/hist_util.cuh"
-#include "../../../src/data/device_adapter.cuh"
-#include "../../../src/common/math.h"
-#include "../../../src/data/simple_dmatrix.h"
 #include "../../../include/xgboost/logging.h"
+#include "../../../src/common/device_helpers.cuh"
+#include "../../../src/common/hist_util.cuh"
+#include "../../../src/common/hist_util.h"
+#include "../../../src/common/math.h"
+#include "../../../src/data/device_adapter.cuh"
+#include "../../../src/data/simple_dmatrix.h"
+#include "../data/test_array_interface.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
+#include "../helpers.h"
+#include "test_hist_util.h"
 
 namespace xgboost {
 namespace common {

tests/cpp/common/test_hist_util.h

@@ -3,16 +3,17 @@
  */
 #pragma once
 #include <gtest/gtest.h>
-#include <dmlc/filesystem.h>
-#include <random>
-#include <vector>
-#include <string>
-#include <fstream>
 
-#include "../helpers.h"
+#include <fstream>
+#include <random>
+#include <string>
+#include <vector>
+
 #include "../../../src/common/hist_util.h"
-#include "../../../src/data/simple_dmatrix.h"
 #include "../../../src/data/adapter.h"
+#include "../../../src/data/simple_dmatrix.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
+#include "../helpers.h"
 
 #ifdef __CUDACC__
 #include <xgboost/json.h>

tests/cpp/common/test_io.cc

@@ -2,12 +2,12 @@
  * Copyright (c) by XGBoost Contributors 2019
  */
 #include <gtest/gtest.h>
-#include <dmlc/filesystem.h>
 
 #include <fstream>
 
-#include "../helpers.h"
 #include "../../../src/common/io.h"
+#include "../helpers.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
 
 namespace xgboost {
 namespace common {

tests/cpp/common/test_json.cc

@@ -2,16 +2,17 @@
  * Copyright (c) by Contributors 2019-2022
  */
 #include <gtest/gtest.h>
-#include <dmlc/filesystem.h>
+
 #include <fstream>
 #include <map>
 
-#include "xgboost/json.h"
-#include "xgboost/logging.h"
-#include "xgboost/json_io.h"
-#include "../helpers.h"
-#include "../../../src/common/io.h"
 #include "../../../src/common/charconv.h"
+#include "../../../src/common/io.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
+#include "../helpers.h"
+#include "xgboost/json.h"
+#include "xgboost/json_io.h"
+#include "xgboost/logging.h"
 
 namespace xgboost {
 

tests/cpp/common/test_quantile.h

@@ -1,3 +1,6 @@
+#ifndef XGBOOST_TESTS_CPP_COMMON_TEST_QUANTILE_H_
+#define XGBOOST_TESTS_CPP_COMMON_TEST_QUANTILE_H_
+
 #include <rabit/rabit.h>
 #include <algorithm>
 #include <string>
@@ -62,3 +65,5 @@ template <typename Fn> void RunWithSeedsAndBins(size_t rows, Fn fn) {
 }
 }  // namespace common
 }  // namespace xgboost
+
+#endif  // XGBOOST_TESTS_CPP_COMMON_TEST_QUANTILE_H_

tests/cpp/common/test_version.cc

@@ -1,18 +1,16 @@
 /*!
  * Copyright 2019 XGBoost contributors
  */
-#include <gtest/gtest.h>
-
-#include <dmlc/filesystem.h>
 #include <dmlc/io.h>
-
-#include <xgboost/version_config.h>
-#include <xgboost/json.h>
+#include <gtest/gtest.h>
 #include <xgboost/base.h>
+#include <xgboost/json.h>
+#include <xgboost/version_config.h>
 
 #include <string>
 
 #include "../../../src/common/version.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
 
 namespace xgboost {
 TEST(Version, Basic) {