Set up CI for Windows

[hcho3]

Latest master branch fails to compile on Windows.

[hcho3]

#106 fixes compilation on Windows. Now we want to set up CI so that the latest master will not break Windows in the future.

[ymwangg]

I just want to follow up on this issue. Since the Neo service has added Windows as a target in production, we need to set up CI for Windows. I think the easiest way to do it is to use the Github Actions similar to the upstream TVM. It can be set up in the "Actions => New workflow => setup a workflow yourself" and then copy and commit the CI code. Here's an example workflow file and example run. Please consider adding this @zhiics.

[zhiics]

I don't have access to dlr CI. Let's ping ppl internally to do this.

[hcho3]

@zhiics FYI, I have documented the detailed steps for setting up Windows CI in Jenkins: hcho3/xgboost-devops#7

[ymwangg]

@hcho3 thanks!

[zhiics]

@hcho3 Thanks a lot, Philip.