`libssh2.h` required `winsock2.h` for `_WIN32` since
81d53de4dc (2011-06-04).
Apply that to the whole codebase. This makes it unnecessary to detect
`HAVE_WINSOCK2_H` and allows to drop all its uses.
Completes TODO from b66d7317ca
TODO: Straighten out the use a mixture of `HAVE_WINDOWS_H`,
`WIN32`, `_WIN32` to detect Windows.