Installing a 3rd party library on Windows runner

Question

I'm building a C project for Windows using GitHub Actions. The build is set up by CMake, and works well until the point I try to include gcrypt as a third party library. The library cannot be found.

Here is the error I get:

[ 93%] Building C object CMakeFiles/my_proj.dir/src/main.c.obj
D:\a\my_proj\my_proj\src\main.c:2:10: fatal error: gcrypt.h: No such file or directory
    2 | #include <gcrypt.h>
      |          ^~~~~~~~~~
compilation terminated.
make[2]: *** [CMakeFiles\my_proj.dir\build.make:76: CMakeFiles/my_proj.dir/src/main.c.obj] Error 1
make[1]: *** [CMakeFiles\Makefile2:149: CMakeFiles/my_proj.dir/all] Error 2
make: *** [Makefile:155: all] Error 2

And here is the workflow I am using:

name: Mingw
on: [push, pull_request]

jobs:
  mingw64-gcc:
    name: MinGW GCC

    runs-on: windows-latest

    defaults:
      run:
        shell: bash

    steps:
      - uses: actions/checkout@v3
      - name: "Configuration"
        run: |
          mkdir build
          cd build
          cmake -G "MinGW Makefiles" -S .. -B .
          pwd
          ls -la
          make
      - name: Archive executable
        uses: actions/upload-artifact@v2
        with:
          name: my_proj
          path: |
            build

How can I alter the workflow so that the Windows instance has access to gcrypt? How can I install 3rd-party dependencies?