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_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>