Try creating xgboost-cpu on Windows

tests/buildkite/build-win64-cpu.ps1

@@ -0,0 +1,51 @@
+## Build Python package xgboost-cpu (minimal install)
+
+$ErrorActionPreference = "Stop"
+
+. tests/buildkite/conftest.ps1
+
+Write-Host "--- Build libxgboost on Windows (minimal)"
+
+mkdir build
+cd build
+cmake .. -G"Visual Studio 17 2022" -A x64
+if ($LASTEXITCODE -ne 0) { throw "Last command failed" }
+cmake --build . --config Release -- /m /nodeReuse:false `
+  "/consoleloggerparameters:ShowCommandLine;Verbosity=minimal"
+if ($LASTEXITCODE -ne 0) { throw "Last command failed" }
+
+Write-Host "--- Build binary wheel"
+cd ..
+# Patch to rename pkg to xgboost-cpu
+patch -p0 < tests/buildkite/remove_nccl_dep.patch
+patch -p0 < tests/buildkite/cpu_only_pypkg.patch
+
+cd python-package
+conda activate
+& pip install --user -v "pip>=23"
+& pip --version
+& pip wheel --no-deps -v . --wheel-dir dist/
+Get-ChildItem . -Filter dist/*.whl |
+Foreach-Object {
+  & python ../tests/ci_build/rename_whl.py `
+    --wheel-path $_.FullName `
+    --commit-hash $Env:BUILDKITE_COMMIT `
+    --platform-tag win_amd64
+  if ($LASTEXITCODE -ne 0) { throw "Last command failed" }
+}
+
+Write-Host "--- Upload Python wheel"
+cd ..
+Get-ChildItem . -Filter python-package/dist/*.whl |
+Foreach-Object {
+  & buildkite-agent artifact upload python-package/dist/$_
+  if ($LASTEXITCODE -ne 0) { throw "Last command failed" }
+}
+# if ( $is_release_branch -eq 1 ) {
+  Get-ChildItem . -Filter python-package/dist/*.whl |
+  Foreach-Object {
+    & aws s3 cp python-package/dist/$_ s3://xgboost-nightly-builds/$Env:BUILDKITE_BRANCH/ `
+      --acl public-read --no-progress
+    if ($LASTEXITCODE -ne 0) { throw "Last command failed" }
+  }
+#}

tests/buildkite/build-win64-gpu.ps1

@@ -1,3 +1,5 @@
+## Build Python package and gtest with GPU enabled
+
 $ErrorActionPreference = "Stop"
 
 . tests/buildkite/conftest.ps1

tests/buildkite/pipeline-win64.yml

@@ -13,6 +13,11 @@ steps:
     key: build-win64-gpu
     agents:
       queue: windows-cpu
+  - label: ":windows: Build XGBoost for Windows (minimal)"
+    command: "tests/buildkite/build-win64-cpu.ps1"
+    key: build-win64-cpu
+    agents:
+      queue: windows-cpu
 
   - wait