Cmake: Don't check for all headers each time

One header at a time is the right way. Apart from that the output on
windows goes from:
...
-- Looking for include files I:/src/libssh2-1.4.3/include/libssh2.h, ws2tcpip.h
-- Looking for include files I:/src/libssh2-1.4.3/include/libssh2.h, ws2tcpip.h
- found
-- Looking for 3 include files I:/src/libssh2-1.4.3/include/libssh2.h, ..., wins
ock2.h
-- Looking for 3 include files I:/src/libssh2-1.4.3/include/libssh2.h, ..., wins
ock2.h - found
-- Looking for 4 include files I:/src/libssh2-1.4.3/include/libssh2.h, ..., stdi
o.h
-- Looking for 4 include files I:/src/libssh2-1.4.3/include/libssh2.h, ..., stdi
o.h - found
-- Looking for 5 include files I:/src/libssh2-1.4.3/include/libssh2.h, ..., wind
ows.h
-- Looking for 5 include files I:/src/libssh2-1.4.3/include/libssh2.h, ..., wind
ows.h - found
-- Looking for 6 include files I:/src/libssh2-1.4.3/include/libssh2.h, ..., wins
ock.h
-- Looking for 6 include files I:/src/libssh2-1.4.3/include/libssh2.h, ..., wins
ock.h - found
-- Looking for 7 include files I:/src/libssh2-1.4.3/include/libssh2.h, ..., sys/
filio.h
-- Looking for 7 include files I:/src/libssh2-1.4.3/include/libssh2.h, ..., sys/
filio.h - not found
-- Looking for 7 include files I:/src/libssh2-1.4.3/include/libssh2.h, ..., sys/
ioctl.h
-- Looking for 7 include files I:/src/libssh2-1.4.3/include/libssh2.h, ..., sys/
ioctl.h - not found
-- Looking for 7 include files I:/src/libssh2-1.4.3/include/libssh2.h, ..., sys/
resource.h
...

To much nicer:
...
-- Looking for ws2tcpip.h
-- Looking for ws2tcpip.h - found
-- Looking for winsock2.h
-- Looking for winsock2.h - found
-- Looking for stdio.h
-- Looking for stdio.h - found
-- Looking for windows.h
-- Looking for windows.h - found
-- Looking for winsock.h
-- Looking for winsock.h - found
-- Looking for sys/filio.h
-- Looking for sys/filio.h - not found
-- Looking for sys/ioctl.h
-- Looking for sys/ioctl.h - not found
-- Looking for sys/resource.h