[CI] Add Python and C++ tests for Windows GPU target (#4469)

* Add CMake option to use bundled gtest from dmlc-core, so that it is easy to build XGBoost with gtest on Windows

* Consistently apply OpenMP flag to all targets. Force enable OpenMP when USE_CUDA is turned on.

* Insert vcomp140.dll into Windows wheels

* Add C++ and Python tests for CPU and GPU targets (CUDA 9.0, 10.0, 10.1)

* Prevent spurious msbuild failure

* Add GPU tests

* Upgrade dmlc-core

tests/ci_build/insert_vcomp140.py

@@ -0,0 +1,18 @@
+import sys
+import re
+import zipfile
+import glob
+
+if len(sys.argv) != 2:
+    print('Usage: {} [wheel]'.format(sys.argv[0]))
+    sys.exit(1)
+
+vcomp140_path = 'C:\\Program Files (x86)\\Microsoft Visual Studio\\Shared\\14.0\\VC\\redist\\x64\\Microsoft.VC140.OpenMP\\vcomp140.dll'
+
+for wheel_path in sorted(glob.glob(sys.argv[1])):
+    m = re.search(r'xgboost-(.*)-py2.py3', wheel_path)
+    assert m
+    version = m.group(1)
+
+    with zipfile.ZipFile(wheel_path, 'a') as f:
+        f.write(vcomp140_path, 'xgboost-{}.data/data/xgboost/vcomp140.dll'.format(version))