Missing header files when cross compiling to windows

[Darksonn]

When cross compiling to windows, you can run into problems if you depend on a package with C code, since when programming on windows the case of header files makes no difference but it does on windows.

I ran into this problem while using the nfs crate, which uses the header file ShObjIdl.h, but it is called shobjidl.h in the include files from the cross compiler. I believe it would be useful to add a note about this somewhere in the document.