Fix cmake warning

Change-Id: Ic7a5fdffa416e7d8ce9035b7eefb160322c36311

cpp/src/arrow/python/CMakeLists.txt

@@ -57,6 +57,13 @@ set(ARROW_PYTHON_SHARED_LINK_LIBS
   arrow_shared
 )
 
+if (MSVC)
+  set(ARROW_PYTHON_SHARED_LINK_LIBS
+    ${ARROW_PYTHON_SHARED_LINK_LIBS}
+    ${PYTHON_LIBRARIES}
+    )
+endif()
+
 ADD_ARROW_LIB(arrow_python
   SOURCES ${ARROW_PYTHON_SRCS}
   SHARED_LINK_FLAGS ""
@@ -64,11 +71,6 @@ ADD_ARROW_LIB(arrow_python
   STATIC_LINK_LIBS ""
 )
 
-if (MSVC)
-  target_link_libraries(arrow_python_shared
-    ${PYTHON_LIBRARIES})
-endif()
-
 if ("${COMPILER_FAMILY}" STREQUAL "clang")
   # Clang, be quiet. Python C API has lots of macros
   set_property(SOURCE ${ARROW_PYTHON_SRCS}