Adapt project/make.sh for Windows builds

Fixes:
- link `-H windows` is not compatible with `-linkmode external`
- under Cygwin go does not play well with cygdrive type paths (i.e.: `/cygdrive/e/src/...`)

These issues were encountered while examining the required work for proper integration tests on client only platforms (#9217).
I think we should probably set `LDFLAGS_STATIC` regardless of the platform, even if we just explicitly empty it on Windows.  I think we also ought to have a comment here explaining why we have the `if`. :smile: