GH-15110: [R] [CI] Windows build fails in packaging job (#15111)

Add new dependencies to windows builds following #14235
* Closes: #15110

Authored-by: Jonathan Keane <jkeane@gmail.com>
Signed-off-by: Jacob Wujciak-Jens <jacob@wujciak.de>

ci/scripts/r_windows_build.sh

@@ -71,23 +71,23 @@ if [ -d mingw64/lib/ ]; then
   # Move the 64-bit versions of libarrow into the expected location
   mv mingw64/lib/*.a $DST_DIR/lib/x64
   # These are from https://dl.bintray.com/rtools/mingw{32,64}/
-  cp $MSYS_LIB_DIR/mingw64/lib/lib{thrift,snappy,zstd,lz4,brotli*,bz2,crypto,curl,ss*,utf8proc,re2,aws*}.a $DST_DIR/lib/x64
+  cp $MSYS_LIB_DIR/mingw64/lib/lib{thrift,snappy,zstd,lz4,brotli*,bz2,crypto,curl,ss*,utf8proc,re2,aws*,nghttp2}.a $DST_DIR/lib/x64
 fi
 
 # Same for the 32-bit versions
 if [ -d mingw32/lib/ ]; then
   ls $MSYS_LIB_DIR/mingw32/lib/
   mkdir -p $DST_DIR/lib/i386
   mv mingw32/lib/*.a $DST_DIR/lib/i386
-  cp $MSYS_LIB_DIR/mingw32/lib/lib{thrift,snappy,zstd,lz4,brotli*,bz2,crypto,curl,ss*,utf8proc,re2,aws*}.a $DST_DIR/lib/i386
+  cp $MSYS_LIB_DIR/mingw32/lib/lib{thrift,snappy,zstd,lz4,brotli*,bz2,crypto,curl,ss*,utf8proc,re2,aws*,nghttp2}.a $DST_DIR/lib/i386
 fi
 
 # Do the same also for ucrt64
 if [ -d ucrt64/lib/ ]; then
   ls $MSYS_LIB_DIR/ucrt64/lib/
   mkdir -p $DST_DIR/lib/x64-ucrt
   mv ucrt64/lib/*.a $DST_DIR/lib/x64-ucrt
-  cp $MSYS_LIB_DIR/ucrt64/lib/lib{thrift,snappy,zstd,lz4,brotli*,bz2,crypto,curl,ss*,utf8proc,re2,aws*}.a $DST_DIR/lib/x64-ucrt
+  cp $MSYS_LIB_DIR/ucrt64/lib/lib{thrift,snappy,zstd,lz4,brotli*,bz2,crypto,curl,ss*,utf8proc,re2,aws*,nghttp2}.a $DST_DIR/lib/x64-ucrt
 fi
 
 # Create build artifact

r/configure.win

@@ -33,7 +33,7 @@ AWS_LIBS="-laws-cpp-sdk-config -laws-cpp-sdk-transfer -laws-cpp-sdk-identity-man
           -lUserenv -lversion -lws2_32 -lBcrypt -lWininet -lwinhttp"
 # pkg-config --libs libcurl
 GCS_LIBS="-lcurl -lnormaliz -lssh2 -lgdi32 -lssl -lcrypto -lcrypt32 -lwldap32 \
-          -lz -lws2_32"
+          -lz -lws2_32 -lnghttp2"
 
 function configure_release() {
   VERSION=$(grep ^Version DESCRIPTION | sed s/Version:\ //)