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/data/test_data.cc

@@ -2,13 +2,14 @@
  * Copyright 2019-2022 by XGBoost Contributors
  */
 #include <gtest/gtest.h>
-#include <dmlc/filesystem.h>
+
 #include <fstream>
 #include <memory>
 #include <vector>
 
-#include "xgboost/data.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
 #include "../helpers.h"
+#include "xgboost/data.h"
 
 namespace xgboost {
 TEST(SparsePage, PushCSC) {

tests/cpp/data/test_ellpack_page_raw_format.cu

@@ -2,12 +2,11 @@
  * Copyright 2021 XGBoost contributors
  */
 #include <gtest/gtest.h>
-#include <dmlc/filesystem.h>
 #include <xgboost/data.h>
 
-#include "../../../src/data/sparse_page_source.h"
 #include "../../../src/data/ellpack_page.cuh"
-
+#include "../../../src/data/sparse_page_source.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
 #include "../helpers.h"
 
 namespace xgboost {

tests/cpp/data/test_file_iterator.cc

@@ -2,13 +2,13 @@
  * Copyright 2021 XGBoost contributors
  */
 #include <gtest/gtest.h>
-#include <dmlc/filesystem.h>
 
 #include <memory>
 
+#include "../../../src/data/adapter.h"
 #include "../../../src/data/file_iterator.h"
 #include "../../../src/data/proxy_dmatrix.h"
-#include "../../../src/data/adapter.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
 #include "../helpers.h"
 
 namespace xgboost {

tests/cpp/data/test_metainfo.cc

@@ -2,12 +2,13 @@
 #include "test_metainfo.h"
 
 #include <dmlc/io.h>
-#include <dmlc/filesystem.h>
 #include <xgboost/data.h>
-#include <string>
-#include <memory>
-#include "../../../src/common/version.h"
 
+#include <memory>
+#include <string>
+
+#include "../../../src/common/version.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
 #include "../helpers.h"
 #include "xgboost/base.h"
 

tests/cpp/data/test_simple_dmatrix.cc

@@ -1,12 +1,13 @@
 // Copyright by Contributors
-#include <dmlc/filesystem.h>
 #include <xgboost/data.h>
 
 #include <array>
-#include "xgboost/base.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"
+#include "xgboost/base.h"
 
 using namespace xgboost;  // NOLINT
 

tests/cpp/data/test_simple_dmatrix.cu

@@ -1,5 +1,4 @@
 // Copyright by Contributors
-#include <dmlc/filesystem.h>
 #include <xgboost/data.h>
 #include "../../../src/data/simple_dmatrix.h"
 

tests/cpp/data/test_sparse_page_dmatrix.cc

@@ -1,14 +1,16 @@
 // Copyright by Contributors
-#include <dmlc/filesystem.h>
 #include <gtest/gtest.h>
 #include <xgboost/data.h>
-#include <thread>
+
 #include <future>
+#include <thread>
+
 #include "../../../src/common/io.h"
 #include "../../../src/data/adapter.h"
+#include "../../../src/data/file_iterator.h"
 #include "../../../src/data/simple_dmatrix.h"
 #include "../../../src/data/sparse_page_dmatrix.h"
-#include "../../../src/data/file_iterator.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
 #include "../helpers.h"
 
 using namespace xgboost;  // NOLINT

tests/cpp/data/test_sparse_page_dmatrix.cu

@@ -1,10 +1,10 @@
 // Copyright by Contributors
 
-#include <dmlc/filesystem.h>
-#include "../helpers.h"
 #include "../../../src/common/compressed_iterator.h"
 #include "../../../src/data/ellpack_page.cuh"
 #include "../../../src/data/sparse_page_dmatrix.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
+#include "../helpers.h"
 
 namespace xgboost {
 

tests/cpp/data/test_sparse_page_raw_format.cc

@@ -2,10 +2,10 @@
  * Copyright 2021 XGBoost contributors
  */
 #include <gtest/gtest.h>
-#include <dmlc/filesystem.h>
 #include <xgboost/data.h>
 
 #include "../../../src/data/sparse_page_source.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
 #include "../helpers.h"
 
 namespace xgboost {