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/test_learner.cc

@@ -2,17 +2,18 @@
  * Copyright 2017-2022 by XGBoost contributors
  */
 #include <gtest/gtest.h>
-#include <vector>
-#include <thread>
-#include "helpers.h"
-#include <dmlc/filesystem.h>
-
 #include <xgboost/learner.h>
 #include <xgboost/version_config.h>
-#include "xgboost/json.h"
+
+#include <thread>
+#include <vector>
+
 #include "../../src/common/io.h"
-#include "../../src/common/random.h"
 #include "../../src/common/linalg_op.h"
+#include "../../src/common/random.h"
+#include "filesystem.h"  // dmlc::TemporaryDirectory
+#include "helpers.h"
+#include "xgboost/json.h"
 
 namespace xgboost {
 TEST(Learner, Basic) {