[docs] Added the links to the libraries used (#1962)

* Added links to the libraries used.

* Fixing the header

* Fixes

* ot -> to

docs/GPU-Windows.rst

@@ -79,10 +79,12 @@ You need to know what you are going to use LightGBM!
 
 -  For running on Intel, get `Intel SDK for OpenCL`_ (NOT RECOMMENDED).
 
--  For running on AMD, get AMD APP SDK.
+-  For running on AMD, get `AMD APP SDK`_ (you may want to replace the ``OpenCL.dll`` from GPU driver package with the one from the SDK, if the one shipped with the driver lacks some functions).
 
 -  For running on NVIDIA, get `CUDA Toolkit`_.
 
+-  Or you can try to use `Khronos official OpenCL headers`_, the CMake module would automatically find the OpenCL library used in your system, though the result may be not portable.
+
 Further reading and correspondence table (especially if you intend to use cross-platform devices,
 like Intel CPU with AMD APP SDK): `GPU SDK Correspondence and Device Targeting Table <./GPU-Targets.rst>`__.
 
@@ -138,6 +140,13 @@ Quick installation of LightGBM can be done using:
 .. code:: r
 
     devtools::install_github("Microsoft/LightGBM", subdir = "R-package")
+    
+--------------
+
+Download the prebuilt Boost
+---------------------------
+
+Download  `Prebuilt Boost x86_64`_ or `Prebuilt Boost i686`_ and unpack them with `7zip`_, alternatively you can build Boost from source.
 
 --------------
 
@@ -570,10 +579,20 @@ And open an issue in GitHub `here`_ with that log.
 
 .. _CUDA Toolkit: https://developer.nvidia.com/cuda-downloads
 
+.. _AMD APP SDK: https://github.com/fireice-uk/xmr-stak/issues/1511
+
+.. _Khronos official OpenCL headers: https://github.com/KhronosGroup/OpenCL-Headers
+
 .. _this: http://iweb.dl.sourceforge.net/project/mingw-w64/Toolchains%20targetting%20Win32/Personal%20Builds/mingw-builds/installer/mingw-w64-install.exe
 
 .. _Boost: https://www.boost.org/users/history/
 
+.. _Prebuilt Boost x86_64: https://dl.fedoraproject.org/pub/fedora/linux/releases/29/Everything/x86_64/os/Packages/m/mingw64-boost-static-1.66.0-2.fc29.noarch.rpm
+
+.. _Prebuilt Boost i686: https://dl.fedoraproject.org/pub/fedora/linux/releases/29/Everything/x86_64/os/Packages/m/mingw32-boost-static-1.66.0-2.fc29.noarch.rpm
+
+.. _7zip: https://www.7-zip.org/download.html
+
 .. _link: https://git-scm.com/download/win
 
 .. _CMake: https://cmake.org/download/