[Python][Release] Add delvewheel for our Windows wheels

[raulcd]

Describe the enhancement requested

For Python wheels on Linux/macOS we are using the corresponding auditwheel and delocate.

We should add delvewheel to our Windows wheels.

From the delvewheel GitHub Readme:

delvewheel is a command-line tool for creating Python wheel packages for Windows that have DLL dependencies that may not be present on the target system. It is functionally similar to [auditwheel](https://github.com/pypa/auditwheel) (for Linux) and [delocate](https://github.com/matthew-brett/delocate) (for macOS).

Suppose that you have built a Python wheel for Windows containing an extension module, but the wheel depends on DLLs that are present in the build environment but may not be present on the end user's machine. This tool determines which DLLs a wheel depends on (aside from system libraries) and copies those DLLs into the wheel.

We are currently copying manually the following which should be taken care of with delvewheel:

@REM bundle the msvc runtime
cp "C:\Program Files (x86)\Microsoft Visual Studio\2017\Community\VC\Redist\MSVC\14.16.27012\x64\Microsoft.VC141.CRT\msvcp140.dll" pyarrow\

https://github.com/apache/arrow/blob/master/ci/scripts/python_wheel_windows_build.bat#L122-L124

Component(s)

Python, Release

[raulcd]

It seems this is not the encouraged, see mentioned issue above.

[jorisvandenbossche]

@raulcd I think this is unrelated to the discussion about whether or not including the C++ runtime dll. We still have plently of DLLs that we have to include in the wheels (i.e. to start, the various arrow libraries). And as far as I understand, delvewheel can be used to properly include those in the wheels (instead of doing that manually).

[raulcd]

oh! I misinterpreted the issue as it was only referencing msvcp140.dll

[raulcd]

This was done on:

• GH-44855: [Python][Packaging] Use delvewheel to repair Windows wheels #35323