ci: [refactor] Move pyzmq install and get_previous_releases into ci-windows-cross.py

diff --git a/.github/ci-windows-cross.py b/.github/ci-windows-cross.py
index bacaffa0..84be2ed1 100755
--- a/.github/ci-windows-cross.py
+++ b/.github/ci-windows-cross.py
@@ -4,6 +4,7 @@
 # file COPYING or https://opensource.org/license/mit/.
 
 import argparse
+import os
 import shlex
 import subprocess
 import sys
@@ -70,6 +71,15 @@ def prepare_tests():
     content = "\n".join(lines) + "\n"
     config_path.write_text(content)
     print(content)
+    previous_releases_dir = Path(os.environ["PREVIOUS_RELEASES_DIR"])
+    cmd_download_prev_rel = [
+        sys.executable,
+        str(workspace / "test" / "get_previous_releases.py"),
+        "--target-dir",
+        str(previous_releases_dir),
+    ]
+    run(cmd_download_prev_rel)
+    run([sys.executable, "-m", "pip", "install", "pyzmq"])
 
 
 def main():
diff --git a/.github/workflows/ci.yml b/.github/workflows/ci.yml
index dff90ff8..210bccc2 100644
--- a/.github/workflows/ci.yml
+++ b/.github/workflows/ci.yml
@@ -425,21 +425,18 @@ jobs:
           ./src/univalue/object.exe
           ./src/univalue/unitester.exe
 
-      - name: Adjust paths in test/config.ini
-        run: py -3 .github/ci-windows-cross.py prepare_tests
-
       - name: Set previous release directory
         run: |
           echo "PREVIOUS_RELEASES_DIR=${{ runner.temp }}/previous_releases" >> "$GITHUB_ENV"
 
-      - name: Get previous releases
-        run: ./test/get_previous_releases.py --target-dir $PREVIOUS_RELEASES_DIR
+      - name: Prepare Windows test environment
+        run: |
+          py -3 .github/ci-windows-cross.py prepare_tests
 
       - name: Run functional tests
         env:
           TEST_RUNNER_EXTRA: ${{ github.event_name != 'pull_request' && '--extended' || '' }}
         run: |
-          py -3 -m pip install pyzmq
           py -3 test/functional/test_runner.py --jobs $NUMBER_OF_PROCESSORS --quiet --tmpdirprefix="$RUNNER_TEMP" --combinedlogslen=99999999 --timeout-factor=$TEST_RUNNER_TIMEOUT_FACTOR $TEST_RUNNER_EXTRA \
             `# feature_unsupported_utxo_db.py fails on Windows because of emojis in the test data directory.` \
             --exclude feature_unsupported_utxo_db.py \