Fix relpath in setup.py on Windows (#3493)
Fix relpath in setup.py on Windows (#3493)

* Fix relpath in setup.py on Windows

Fixes #3480.

* Use only one lib file; use 4 space indent

dmlc/xgboost,dmlc/xgboost,dmlc/xgboost,dmlc/xgboost,dmlc/xgboost,dmlc/xgboost