Better windows support
This PR is ready :)
It brings official support for windows.

Some tests `AWSDatasetTest` are failing.
This is because I had to fix a few datasets that were not compatible with windows.
These test will pass once they got merged on master :)
There are a few differences in the behavior of python and pyarrow on windows.

For example there are restrictions when accessing/deleting files that are open

Fix #590 