some of the modules use openblas-src.
To get this working you need vcpkg from microsoft repo.
Install it according to the instructions and move it to your path, e.g. ~/.local/bin .
Additionally create an environment variable VCPKG_ROOT which points to the repo you checked out.
After that you can
> vcpkg integrate install
> vcpkg install openblas --triplet x64-windows
The cargo build process should now find the openblas library for linking.