Merge pull request dmlc#845 from thirdwing/master

[Documents] update windows instructions

doc/build.md

@@ -80,14 +80,27 @@ cd xgboost; cp make/config.mk ./config.mk; make -j4
 ### Building on Windows
 You need to first clone the xgboost repo with recursive option clone the submodules.
 If you are using github tools, you can open the git-shell, and type the following command.
+We recommend using the [Git for Windows](https://git-for-windows.github.io/),
+because it brings a standard bash shell. This will highly ease the installation process.
+
 ```bash
 git submodule init
 git submodule update
 ```
 
 XGBoost support both build by MSVC or MinGW. Here is how you can build xgboost library using MinGW.
 
-Build with mingw
+After installing [Git for Windows](https://git-for-windows.github.io/), you should have a shortcut `Git Bash`.
+All the following steps are in the `Git Bash`.
+
+In MinGW, `make` command comes with the name `mingw32-make`. You can add the following line into the `.bashrc` file.
+
+```bash
+alias make='mingw32-make'
+```
+
+To build with MinGW
+
 ```bash
 cp make/mingw64.mk config.mk; make -j4
 ```