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ARROW-8602: [C++][CMake] Fix ws2_32 link issue when cross-compiling on Linux

With this patch I can cross-compile arrow from a Linux system, in particular I can compile Windows binaries on a Linux system (using https://binarybuilder.org/). I hope to eventually be able to use things from Julia with this.

My best guess is that the inconsistent casing of `ws2_32` in the various build files/systems is no problem when compiling things on Windows because file systems there tend to be case insensitive.

Closes #7001 from davidanthoff/fix-crosscompile

Authored-by: David Anthoff <anthoff@berkeley.edu>
Signed-off-by: François Saint-Jacques <fsaintjacques@gmail.com>