Solution: change case of `WinSock2.h Iphlpapi.h Rpc.h` to match the
files on disk. This is only noticeable when cross-compiling from a
case-sensitive system so wouldn't get picked up in MSVC or mingw
builds running on a windows machine.

MSDN uses capitalised versions in prose and lowercase in code examples:
https://msdn.microsoft.com/en-us/library/windows/desktop/ms737629(v=vs.85).aspx

Fixes #2978, the missing library message is a little misleading.