Fix GHA compilation on Windows

[aSemy]

I previously tried to get the Windows tests working #1. However, I was not able to make Kotlin correctly link the libs on Windows.

The C:\Users\runneradmin\.konan\dependencies\llvm-11.1.0-windows-x64-essentials/bin/clang++ command returned non-zero exit code: 1.
output:
lld: error: unable to find library -lrocksdb
clang++: error: linker command failed with exit code 1 (use -v to see invocation)

I'm open to trying to embed the libs using staticLibraries, but Kotlin/Native still had issues - something to do with the library not being encoded with the right version of gcc?

The C:\Users\runneradmin\.konan\dependencies\llvm-11.1.0-windows-x64-essentials/bin/clang++ command returned non-zero exit code: 1.
output:
lld-link: error: undefined symbol: std::__throw_bad_array_new_length()
>>> referenced by librocksdb.a(c.cc.obj):(rocksdb_approximate_memory_usage_create)
>>> referenced by librocksdb.a(c.cc.obj):(rocksdb::AdvancedColumnFamilyOptions::AdvancedColumnFamilyOptions(rocksdb::AdvancedColumnFamilyOptions const&))
>>> referenced by librocksdb.a(c.cc.obj):(rocksdb::AdvancedColumnFamilyOptions::AdvancedColumnFamilyOptions(rocksdb::AdvancedColumnFamilyOptions const&))
>>> referenced 404 more times

It's difficult to download libraries directly from msys2 because they are zstd encoded, and I had difficulty using the existing Java zstd libraries. https://github.com/luben/zstd-jni is compiled for an older version of Java, and Airlift ZstdDecompressor returned -1 for the decompressed size airlift/aircompressor#106.

Additionally, it would be best to be able to specifically set the RocksDB version, else KotRdb would have a random RocksDB version. The msys2 GHA does not allow for setting specific library versions msys2/setup-msys2#180.