[3.4] bpo-31691: Add missing build steps (GH-4426)

[native-api]

• Add missing build steps
• Specify how to build installer in Windows

https://bugs.python.org/issue31691

[the-knights-who-say-ni]

Hello, and thanks for your contribution!

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Unfortunately we couldn't find an account corresponding to your GitHub username on bugs.python.org (b.p.o) to verify you have signed the CLA (this might be simply due to a missing "GitHub Name" entry in your b.p.o account settings). This is necessary for legal reasons before we can look at your contribution. Please follow the steps outlined in the CPython devguide to rectify this issue.

Thanks again to your contribution and we look forward to looking at it!

[Mariatta]

The 3.4 branch is only for security fixes. This documentation update is not considered as a security fix, so I'm closing it.