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_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_