gitlab-ci: Create obj directory for Windows builds
The obj directory is not created anymore when the git repository is
cloned. Create the directory during the build.
Also set the variable "ErrorActionPreference: STOP" to make the build to
fail if an error occurs.
Signed-off-by: Anderson Toshiyuki Sasaki <email@example.com>
Reviewed-by: Andreas Schneider <firstname.lastname@example.org>