The upstream xz sources requires cmake to build on windows.
This can be avoided by extracting a config.h file extracted from the CMake's 
results, as is done by CPython.
This file may need to be updated when upgrading the xz version.
The file in this directory is taken from the xz branch of 
https://github.com/python/cpython-source-deps.
Specifically:
https://github.com/python/cpython-source-deps/blob/665d407bd6bc941944db2152e4b5dca388ea586e/windows/config.h