Add vcpkg installation instructions (#1936)

* Add vcpkg installation instructions

* Casing

* Move instructions
Co-authored-by: Henry Fredrick Schreiner <henry.fredrick.schreiner@cern.ch>

docs/compiling.rst

@@ -391,6 +391,25 @@ build system that works on all platforms including Windows.
     of possibly importing a second Python library into a process that already
     contains one (which will lead to a segfault).
 
+
+Building with vcpkg
+===================
+You can download and install pybind11 using the Microsoft `vcpkg
+<https://github.com/Microsoft/vcpkg/>`_ dependency manager:
+
+.. code-block:: bash
+
+    git clone https://github.com/Microsoft/vcpkg.git
+    cd vcpkg
+    ./bootstrap-vcpkg.sh
+    ./vcpkg integrate install
+    vcpkg install pybind11
+
+The pybind11 port in vcpkg is kept up to date by Microsoft team members and
+community contributors. If the version is out of date, please `create an issue
+or pull request <https://github.com/Microsoft/vcpkg/>`_ on the vcpkg
+repository.
+
 Generating binding code automatically
 =====================================