added mingw64 installation instruction, and library file copy.

[cinqs]

with regards to #2928

[codecov-io]

Codecov Report

Merging #2977 into master will increase coverage by 0.6%.
The diff coverage is n/a.

@@             Coverage Diff             @@
##             master    #2977     +/-   ##
===========================================
+ Coverage     43.19%   43.79%   +0.6%     
- Complexity      207      228     +21     
===========================================
  Files           155      159      +4     
  Lines         11614    12507    +893     
  Branches       1161      466    -695     
===========================================
+ Hits           5017     5478    +461     
- Misses         6267     6837    +570     
+ Partials        330      192    -138

Impacted Files	Coverage Δ	Complexity Δ
src/objective/objective.cc	66.66% <0%> (-24.25%)	0% <0%> (ø)
src/tree/tree_updater.cc	47.36% <0%> (-14.18%)	0% <0%> (ø)
src/gbm/gbm.cc	26.66% <0%> (-10.84%)	0% <0%> (ø)
include/xgboost/objective.h	30.76% <0%> (-9.24%)	0% <0%> (ø)
src/metric/rank_metric.cc	85.06% <0%> (-5.75%)	0% <0%> (ø)
src/tree/param.h	59.45% <0%> (-4.05%)	0% <0%> (ø)
...c/xgboost4j/scala/spark/params/GeneralParams.scala	92.59% <0%> (-2.65%)	0% <0%> (ø)
src/common/math.h	60.71% <0%> (-2.25%)	0% <0%> (ø)
src/gbm/gbtree.cc	18.05% <0%> (-2.08%)	0% <0%> (ø)
include/xgboost/gbm.h	12.5% <0%> (-1.79%)	0% <0%> (ø)
... and 76 more

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[hcho3]

Thanks for your PR. I took time to read through Makefile and CMakeLists.txt and found out that we indeed get xgboost.dll, not libxgboost.dll as described in the documentation. I'll go ahead and remove all references to libxgboost.dll.

[hcho3]

I'll merge this once the tests are completed.