Doc: Add Vcpkg installation instructions

doc/docs/NLopt_Installation.md

@@ -76,6 +76,19 @@ cmake -DBUILD_SHARED_LIBS=OFF ..
 Then you run `make` and `make` `install` as usual.
 
 
+Vcpkg
+-----
+
+Alternatively, you can build and install NLopt using [vcpkg](https://github.com/Microsoft/vcpkg/) dependency manager:
+
+    git clone https://github.com/Microsoft/vcpkg.git
+    cd vcpkg
+    ./bootstrap-vcpkg.sh
+    ./vcpkg integrate install
+    ./vcpkg install nlopt
+
+The NLopt port in vcpkg is kept up to date by Microsoft team members and community contributors. If the version is out of date, please [create an issue or pull request](https://github.com/Microsoft/vcpkg) on the vcpkg repository.
+
 Octave and Matlab plugins
 -------------------------