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Restore the Windows thread server callback code from PR 4577 #3332

Job	Run time
xbuild-ios32	5m 59s
build-windows (cmake, gfortran, 0, 0)	29m 13s
xbuild-ios	6m 29s
xbuild-x86_64	10m 8s
build-windows (cmake, gfortran, 1, 1)	32m 24s
build-windows (cmake, gfortran, 1, 0)	26m 54s
build-windows (make, gfortran, 1, 0)	7m 29s
build-windows (cmake, gfortran, 0, 1)	26m 36s
build-windows (make, gfortran, 1, 1)	7m 16s
build-windows (make, gfortran, 0, 1)	7m 15s
build-windows (make, gfortran, 0, 0)	6m 49s
	2h 46m 32s