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/predictor/test_cpu_predictor.cc

@@ -1,7 +1,6 @@
 /*!
  * Copyright 2017-2022 XGBoost contributors
  */
-#include <dmlc/filesystem.h>
 #include <gtest/gtest.h>
 #include <xgboost/predictor.h>
 
@@ -9,6 +8,7 @@
 #include "../../../src/data/proxy_dmatrix.h"
 #include "../../../src/gbm/gbtree.h"
 #include "../../../src/gbm/gbtree_model.h"
+#include "../filesystem.h"  // dmlc::TemporaryDirectory
 #include "../helpers.h"
 #include "test_predictor.h"
 

tests/cpp/predictor/test_gpu_predictor.cu

@@ -1,7 +1,6 @@
 /*!
  * Copyright 2017-2020 XGBoost contributors
  */
-#include <dmlc/filesystem.h>
 #include <gtest/gtest.h>
 #include <xgboost/c_api.h>
 #include <xgboost/learner.h>