Rewrite five SDL_DIRECTX header checks

Co-authored-by: Anonymous Maarten <madebr@users.noreply.github.com>

[sdl-ci-filter msvc-*]
[sdl-ci-filter msys2-*]
[sdl-ci-filter cygwin]
[sdl-ci-filter ngage]

CMakeLists.txt

@@ -2291,11 +2291,32 @@ elseif(WINDOWS OR CYGWIN)
       string(APPEND CMAKE_REQUIRED_FLAGS " /I\"$ENV{DXSDK_DIR}\\Include\"")
     endif()
 
-    check_include_file(d3d9.h HAVE_D3D9_H)
-    check_include_file(d3d11_1.h HAVE_D3D11_H)
-    check_include_file(ddraw.h HAVE_DDRAW_H)
-    check_include_file(dsound.h HAVE_DSOUND_H)
-    check_include_file(dinput.h HAVE_DINPUT_H)
+    # d3d9.h may need windows.h, but does not include it itself.
+    check_c_source_compiles("
+      #include <windows.h>
+      #include <d3d9.h>
+      int main(int argc, char **argv) { (void)argc; (void)argv; return 0; }" HAVE_D3D9_H
+    )
+    check_c_source_compiles("
+      #include <d3d11_1.h>
+      int main(int argc, char **argv) { (void)argc; (void)argv; return 0; }" HAVE_D3D11_H
+    )
+    # ddraw.h, dsound.h, and dinput.h may need windows.h, but does not include it itself.
+    check_c_source_compiles("
+      #include <windows.h>
+      #include <ddraw.h>
+      int main(int argc, char **argv) { (void)argc; (void)argv; return 0; }" HAVE_DDRAW_H
+    )
+    check_c_source_compiles("
+      #include <windows.h>
+      #include <dsound.h>
+      int main(int argc, char **argv) { (void)argc; (void)argv; return 0; }" HAVE_DSOUND_H
+    )
+    check_c_source_compiles("
+      #include <windows.h>
+      #include <dinput.h>
+      int main(int argc, char **argv) { (void)argc; (void)argv; return 0; }" HAVE_DINPUT_H
+    )
     if(SDL_CPU_ARM32)  # !!! FIXME: this should probably check if we're !(x86 or x86-64) instead of arm.
       set(HAVE_DINPUT_H 0)
     endif()