How to use CMake's pkg_search_module() when compiling under Windows?

I'm programming a game which uses SDL2 and CMake. In order to link and include SDL2 I use the following CMake code:

include(FindPkgConfig)
pkg_search_module(SDL2 REQUIRED sdl2)
target_link_libraries(MYLIB SDL2)

When compiling under Linux (Fedora) this works perfectly.

But what about Windows? There I don't have standard system locations for DLL/a files and include folders. There isn't even pkg-config.

This is the error I get:

Could NOT find PkgConfig (missing:  PKG_CONFIG_EXECUTABLE) 
checking for one of the modules 'sdl2'
CMake Error at C:/Program Files (x86)/CMake/share/cmake-3.0/Modules/FindPkgConfig.cmake:425 (message):
  None of the required 'sdl2' found
Call Stack (most recent call first):
  .../CMakeLists.txt:4 (pkg_search_module)

I used the VS 2013 generator.