MinGW-64 fixes

When compiling for a windows target, this patch removes the need for embedded dlls & includes when on a non-windows host, for example on linux-mingw, when headers are provides and common libs like lapack can be easily found.

It also fixes a few build issues in the source with mingw-w64-gcc 4.9.1.
Is there any reason to retain the `PLATFORM_NAME` variable now? When cross-building that seems ambiguous while `CMAKE_HOST_SYSTEM_NAME` is clear. Also, note that the platform name for OSX systems will be different now -- "Darwin" rather than "Mac". I don't think that's a problem but it's worth checking if you haven't already.