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[R-package] CMake errors in MinGW builds on Windows #3060

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@jameslamb

See the most recent build on master. There are some errors being generated when building the R package using MinGW. This isn't causing any user-facing issues as far as I know, since it doesn't cause installation to fail, but we should fix these warnings so that they don't waste users' time or lead to unnecessary bug reports.

installing via 'install.libs.R' to C:/projects/lightgbm/lightgbm.Rcheck/00LOCK-lightgbm/00new/lightgbm
[1] "Trying to build with MinGW"
CMake Error at C:/Program Files (x86)/CMake/share/cmake-3.16/Modules/CMakeMinGWFindMake.cmake:12 (message):
...
...
...
CMake Error: CMAKE_C_COMPILER not set, after EnableLanguage
CMake Error: CMAKE_CXX_COMPILER not set, after EnableLanguage

This StackOverflow post suggested that maybe putting MinGW on PATH can fix this but so far I haven't had luck with it.

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