Update windows.md to say use MSYS2 MinGW x64 icon. This is a common beginner problem.

Examples of beginners having this problem:

https://stackoverflow.com/questions/58141435/msys2-does-not-install-lib-files-for-gtk3

https://stackoverflow.com/questions/39266331/how-to-build-a-gtk3-application-with-msys2

https://stackoverflow.com/questions/36241152/how-to-install-gtk3-and-mingw-on-windows-using-msys2

https://www.reddit.com/r/GTK/comments/zjjk5l/help_installing_on_windows_10/