[Cherry-pick for 0.15] Use python 3.9 conda environment for cmake circleci workflows (#7370) (#7371)

Co-authored-by: Philip Meier <[email protected]>
Co-authored-by: Andrey Talman <[email protected]>

Author: 3 people

.circleci/config.yml

@@ -991,6 +991,10 @@ jobs:
           command: |
             set -ex
             source packaging/windows/internal/vc_install_helper.sh
+            eval "$('/C/tools/miniconda3/Scripts/conda.exe' 'shell.bash' 'hook')"
+            conda activate base
+            conda create -yn python39 python=3.9
+            conda activate python39
             packaging/build_cmake.sh
 
   cmake_windows_gpu:
@@ -1008,6 +1012,11 @@ jobs:
             set -ex
             source packaging/windows/internal/vc_install_helper.sh
             packaging/windows/internal/cuda_install.bat
+            eval "$('/C/tools/miniconda3/Scripts/conda.exe' 'shell.bash' 'hook')"
+            conda activate
+            conda update -y conda
+            conda create -yn python39 python=3.9
+            conda activate python39
             packaging/build_cmake.sh
 
   build_docs: