Windows (or PowerShell) has an Execution Policy that's by default set to "Restricted". This prevents any (unsigned?) powershell script from running, so our new bootstrap script is not allowed to run by default. This creates a first hurdle for potentially interested Windows developers.

This bug is mostly a reminder to investigate whether we can improve this experience.

Some reading that may help to find a more elegant solution:
* https://stackoverflow.com/questions/10635/why-are-my-powershell-scripts-not-running
One of the solutions on this page suggests creating a cmd file that invokes powershell with executionpolicy set to "bypass". So this solution would have us create a wrapper cmd file around setup-mingw64.ps1 and advertise that one instead.

* https://blog.netspi.com/15-ways-to-bypass-the-powershell-execution-policy/
Sums a whole list of other ways to bypass the execution policy. Perhaps there's a more elegant solution to be distilled from that info.