Add a document page to build on Windows.

[kimsama]

Besides adding a document file:

• modified CMakeLists.txt to resolve to build errors.
• excluded benchmark stuff to resolve platform issue. (I don't believe 'benchmarks' can be built on Windows because its code uses POSIX socket library)

Motivation and Context

No document about build on Windows. Related issue #886
(Sorry for the direct tackle on master rather than using a branch but there might be no harm because it's just adding a document page and small changes of CMakeList.txt only effect on Windows)

How Has This Been Tested

Tested on Visual Studio 2017 v15.9.11 in Windows10.

Types of changes

• Docs change / refactoring / dependency upgrade
• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to change)

Checklist

• My code follows the code style of this project.
• My change requires a change to the documentation.
• I have updated the documentation accordingly.
• I have read the CONTRIBUTING document.
• I have added tests to cover my changes.
• All new and existing tests passed.