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).
Oh right, I'm surprised it even worked actually