GH-46080 [Python][Docs] Provide guidance for tzdata related issues if installing with pip (#46591)

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### Rationale for this change

When installing pyarrow with pip, it is possible to experience a confusing time zone related error when writing files with datetime data.    #46080 discusses the problem and a solution was eventually found.  This change provides helpful information to other users who may experience the problem.

### What changes are included in this PR?

Update to python installation instructions that offers guidance on how to handle tzdata related errors

### Are these changes tested?

I was unable to build the documentation locally.  I will use the github action to preview the documentation

### Are there any user-facing changes?

No

* GitHub Issue: #46080

Lead-authored-by: Kyle Hemker <k@hemker.us>
Co-authored-by: Alenka Frim <AlenkaF@users.noreply.github.com>
Co-authored-by: kahemker <github@kylehemker.uk>
Co-authored-by: kahemker <kyle.hemker@gmail.com>
Co-authored-by: Sutou Kouhei <kou@cozmixng.org>
Co-authored-by: Raúl Cumplido <raulcumplido@gmail.com>
Signed-off-by: AlenkaF <frim.alenka@gmail.com>

Author: 5 people

docs/source/python/install.rst

@@ -98,6 +98,21 @@ a custom path to the database from Python:
    >>> import pyarrow as pa
    >>> pa.set_timezone_db_path("custom_path")
 
+You may encounter problems writing datetime data to an ORC file if you install
+pyarrow with pip. One possible solution to fix this problem:
+
+   1. Install tzdata with ``pip install tzdata``
+   2. Set the environment variable ``TZDIR = path\to\.venv\Lib\site-packages\tzdata\``
+
+You can find where ``tzdata`` is installed with the following python
+command:
+
+.. code-block:: python
+
+   >>> import tzdata
+   >>> print(tzdata.__file__)
+   path\to\.venv\Lib\site-packages\tzdata\__init__.py
+
 
 .. _python-conda-differences: