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/tree/gpu_hist/test_gradient_based_sampler.cu

@@ -6,8 +6,8 @@
 #include "../../../../src/data/ellpack_page.cuh"
 #include "../../../../src/tree/gpu_hist/gradient_based_sampler.cuh"
 #include "../../../../src/tree/param.h"
+#include "../../filesystem.h"  // dmlc::TemporaryDirectory
 #include "../../helpers.h"
-#include "dmlc/filesystem.h"
 
 namespace xgboost {
 namespace tree {