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_serialization.cc

@@ -1,14 +1,16 @@
 // Copyright (c) 2019-2022 by Contributors
 #include <gtest/gtest.h>
-#include <dmlc/filesystem.h>
-#include <string>
-#include <xgboost/learner.h>
-#include <xgboost/data.h>
 #include <xgboost/base.h>
+#include <xgboost/data.h>
 #include <xgboost/json.h>
-#include "helpers.h"
+#include <xgboost/learner.h>
+
+#include <string>
+
 #include "../../src/common/io.h"
 #include "../../src/common/random.h"
+#include "filesystem.h"  // dmlc::TemporaryDirectory
+#include "helpers.h"
 
 namespace xgboost {
 template <typename Array>