Windows R CI: #warning Please include winsock2.h before windows.h

[jakirkham]

Seeing the following warning in Windows R CI builds (also attached log for posterity):

g++  -std=gnu++17 -I"C:/R/include" -DNDEBUG -I../..//include -I../..//dmlc-core/include -I../../ -DXGBOOST_BUILTIN_PREFETCH_PRESENT=1 -DXGBOOST_MM_PREFETCH_PRESENT=1 -DXGBOOST_STRICT_R_MODE=1 -DDMLC_LOG_BEFORE_THROW=0 -DDMLC_ENABLE_STD_THREAD=0 -DDMLC_DISABLE_STDIN=1 -DDMLC_LOG_CUSTOMIZE=1    -I"c:/rtools45/x86_64-w64-mingw32.static.posix/include"   -fopenmp -DDMLC_CMAKE_LITTLE_ENDIAN=1 -pthread    -O2 -Wall  -mfpmath=sse -msse2 -mstackrealign    -c ../..//src/metric/elementwise_metric.cc -o ../..//src/metric/elementwise_metric.o
In file included from ../..//include/xgboost/collective/socket.h:23,
                 from ../../src/common/../collective/loop.h:19,
                 from ../../src/common/../collective/comm.h:14,
                 from ../../src/common/../collective/broadcast.h:8,
                 from ../../src/common/random.h:22,
                 from xgboost_custom.cc:6:
C:/rtools45/x86_64-w64-mingw32.static.posix/include/winsock2.h:15:2: warning: #warning Please include winsock2.h before windows.h [-Wcpp]

[trivialfis]

The windows.h include is probably from dmlc.