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GH-41340: [C++][CMake][Windows] Remove needless .dll suffix from link libraries (#41341)

### Rationale for this change

We should use `.lib` (import library) not `.dll` for linking. So `.dll` is wrong. (But it seems working... Why...?)

### What changes are included in this PR?

Remove `.dll` from link libraries because CMake generates suitable link options from library name automatically:

https://cmake.org/cmake/help/latest/command/target_link_libraries.html#command:target_link_libraries

> A plain library name: The generated link line will ask the linker to search for the library (e.g. `foo` becomes `-lfoo` or `foo.lib`).

### Are these changes tested?

Yes.

### Are there any user-facing changes?

Yes.
* GitHub Issue: #41340

Authored-by: Sutou Kouhei <kou@clear-code.com>
Signed-off-by: Sutou Kouhei <kou@clear-code.com>