Windows does not support symlinks created by Git
Git for Windows does not support symlinks, which replaces with text files containing the path to the linked entry. This makes the compilation of pyHealpix fail since commit 34138251 ("Improve Python packaging").
Since Windows does support symlinks, it seems possible to circumvent this limitation:
https://stackoverflow.com/questions/5917249/git-symlinks-in-windows
However, I have yet to test this feature.