[C++] Add support for glog on Windows

Windows doesn't have sigaction() but has signal().

glog also uses signal():
https://github.com/google/glog/blob/master/src/signalhandler.cc#L390

ci/appveyor-cpp-build-mingw.bat

@@ -47,7 +47,6 @@ cmake ^
     -DARROW_VERBOSE_THIRDPARTY_BUILD=OFF ^
     -DARROW_PACKAGE_PREFIX=%MINGW_PREFIX% ^
     -DARROW_JEMALLOC=OFF ^
-    -DARROW_USE_GLOG=OFF ^
     -DARROW_PARQUET=ON ^
     -DARROW_PYTHON=ON ^
     -DPythonInterp_FIND_VERSION=ON ^

ci/appveyor-cpp-setup-mingw.bat

@@ -32,6 +32,7 @@ pacman --sync --refresh --noconfirm ^
     "%MINGW_PACKAGE_PREFIX%-double-conversion" ^
     "%MINGW_PACKAGE_PREFIX%-flatbuffers" ^
     "%MINGW_PACKAGE_PREFIX%-gflags" ^
+    "%MINGW_PACKAGE_PREFIX%-glog" ^
     "%MINGW_PACKAGE_PREFIX%-gobject-introspection" ^
     "%MINGW_PACKAGE_PREFIX%-gtest" ^
     "%MINGW_PACKAGE_PREFIX%-gtk-doc" ^

cpp/src/arrow/util/logging.cc

@@ -161,6 +161,11 @@ void ArrowLog::UninstallSignalAction() {
   // This signal list comes from glog's signalhandler.cc.
   // https://github.com/google/glog/blob/master/src/signalhandler.cc#L58-L70
   std::vector<int> installed_signals({SIGSEGV, SIGILL, SIGFPE, SIGABRT, SIGTERM});
+#ifdef WIN32
+  for (int signal_num : installed_signals) {
+    ARROW_CHECK(signal(signal_num, SIG_DFL) != SIG_ERR);
+  }
+#else
   struct sigaction sig_action;
   memset(&sig_action, 0, sizeof(sig_action));
   sigemptyset(&sig_action.sa_mask);
@@ -169,6 +174,7 @@ void ArrowLog::UninstallSignalAction() {
     ARROW_CHECK(sigaction(signal_num, &sig_action, NULL) == 0);
   }
 #endif
+#endif
 }
 
 void ArrowLog::ShutDownArrowLog() {