Fix mkl-static issue for Windows. (pytorch#130697)

Background:
We found the pytorch Windows release/2.4 performance regression: pytorch#130619

After some debug works, I found the pytorch Windows static mkl build options are wrong:
<img width="1049" alt="image" src="https://github.com/user-attachments/assets/38692142-bfca-4c98-8092-6e105c82bb13">
1. Thread lib is wrong.
2. Miss `openmp` lib and config.
> Debug history: pytorch#130619 (comment) and pytorch#130619 (comment)

This PR will fix `mkl-static` build options issue.
<img width="863" alt="image" src="https://github.com/user-attachments/assets/834f6cee-7e6d-4d74-b2bc-8a270f05e429">

Reference:
<img width="482" alt="image" src="https://github.com/user-attachments/assets/8184dadb-f230-4062-a49f-51df1d7285f5">

https://www.intel.com/content/www/us/en/developer/tools/oneapi/onemkl-link-line-advisor.html#gs.c6izlg

Pull Request resolved: pytorch#130697
Approved by: https://github.com/jgong5, https://github.com/atalman

cmake/Modules/FindMKL.cmake

@@ -88,25 +88,41 @@ ELSE ("${SIZE_OF_VOIDP}" EQUAL 8)
   SET(iccvers "ia32")
   SET(mkl64s)
 ENDIF ("${SIZE_OF_VOIDP}" EQUAL 8)
-IF(CMAKE_COMPILER_IS_GNUCC)
-  IF ("${MKL_THREADING}" STREQUAL "TBB")
-    SET(mklthreads "mkl_tbb_thread")
-    SET(mklrtls "tbb")
-  ELSE()
-    SET(mklthreads "mkl_gnu_thread" "mkl_intel_thread")
-    SET(mklrtls "gomp" "iomp5")
-  ENDIF()
-  SET(mklifaces  "intel" "gf")
-ELSE(CMAKE_COMPILER_IS_GNUCC)
+
+IF(WIN32)
   IF ("${MKL_THREADING}" STREQUAL "TBB")
     SET(mklthreads "mkl_tbb_thread")
-    SET(mklrtls "tbb")
+    IF (CMAKE_BUILD_TYPE STREQUAL Debug)
+      SET(mklrtls "tbb12_debug")
+    ELSE ()
+      SET(mklrtls "tbb12")
+    ENDIF ()
   ELSE()
     SET(mklthreads "mkl_intel_thread")
-    SET(mklrtls "iomp5" "guide")
+    SET(mklrtls "libiomp5md")
   ENDIF()
-  SET(mklifaces  "intel")
-ENDIF (CMAKE_COMPILER_IS_GNUCC)
+    SET(mklifaces  "intel")
+ELSE(WIN32)
+  IF(CMAKE_COMPILER_IS_GNUCC)
+    IF ("${MKL_THREADING}" STREQUAL "TBB")
+      SET(mklthreads "mkl_tbb_thread")
+      SET(mklrtls "tbb")
+    ELSE()
+      SET(mklthreads "mkl_gnu_thread" "mkl_intel_thread")
+      SET(mklrtls "gomp" "iomp5")
+    ENDIF()
+    SET(mklifaces  "intel" "gf")
+  ELSE(CMAKE_COMPILER_IS_GNUCC)
+    IF ("${MKL_THREADING}" STREQUAL "TBB")
+      SET(mklthreads "mkl_tbb_thread")
+      SET(mklrtls "tbb")
+    ELSE()
+      SET(mklthreads "mkl_intel_thread")
+      SET(mklrtls "iomp5" "guide")
+    ENDIF()
+    SET(mklifaces  "intel")
+  ENDIF (CMAKE_COMPILER_IS_GNUCC)
+ENDIF(WIN32)
 
 # Kernel libraries dynamically loaded
 SET(mklkerlibs "mc" "mc3" "nc" "p4n" "p4m" "p4m3" "p4p" "def")