ODBC-171 Adding BUILD.md file with build instructions

BUILD.md

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+# Building the Connector/ODBC
+
+Following are build instructions for various operating systems.
+
+## Windows
+
+Prior to start building on Windows you need to have following tools installed:
+- Microsoft Visual Studio https://visualstudio.microsoft.com/downloads/
+- Git https://git-scm.com/download/win
+- cmake https://cmake.org/download/
+
+```
+git clone https://github.com/MariaDB/mariadb-connector-odbc.git
+cd mariadb-connector-odbc
+cmake -DCMAKE_BUILD_TYPE=RelWithDebInfo -DCONC_WITH_UNIT_TESTS=Off -DCONC_WITH_MSI=OFF .
+cmake --build . --config RelWithDebInfo
+msiexec.exe /i wininstall\mariadb-connector-odbc-3.0.6-win32.msi
+```
+
+## CentOS
+
+```
+sudo yum -y install git cmake make gcc openssl-devel unixODBC unixODBC-devel
+git clone https://github.com/MariaDB/mariadb-connector-odbc.git
+mkdir build && cd build
+cmake ../mariadb-connector-odbc/ -DCMAKE_BUILD_TYPE=RelWithDebInfo -DCONC_WITH_UNIT_TESTS=Off -DCMAKE_INSTALL_PREFIX=/usr/local
+cmake --build . --config RelWithDebInfo
+sudo make install
+```
+
+## Debian & Ubuntu
+
+```
+sudo apt-get update
+sudo sh apt-get install -y git cmake make gcc libssl-dev unixodbc-dev
+git clone https://github.com/MariaDB/mariadb-connector-odbc.git
+mkdir build && cd build
+cmake ../mariadb-connector-odbc/ -DCMAKE_BUILD_TYPE=RelWithDebInfo -DCONC_WITH_UNIT_TESTS=Off -DCMAKE_INSTALL_PREFIX=/usr/local
+cmake --build . --config RelWithDebInfo
+sudo make install
+```