Add the following code snippet to make your executable file run on windows and has debug information.
option(RELEASE_WITH_DBGINFO "Release with Debug info" ON)
if(RELEASE_WITH_DBGINFO)
set(CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_RELEASE} /Zi")
set(CMAKE_SHARED_LINKER_FLAGS_RELEASE "${CMAKE_SHARED_LINKER_FLAGS_RELEASE} /DEBUG")
endif(RELEASE_WITH_DBGINFO)