liblzma is not found on Windows.
When you build xz on Windows, the library is called liblzma.lib, but we see in : cmake-3.9\Modules\FindLibLZMA.cmake
find_library(LIBLZMA_LIBRARY lzma)
.. this does not work on Windows. I am working around this by adding: -DCMAKE_FIND_LIBRARY_PREFIXES=";lib"
to my commandline.
Edited by Ray Donnelly