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[C++][Python][Docs] Provide instructions for "fixing" build environment issues #32985

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Description

@asfimport

Due to bigger changes in the build workflow for Arrow C++ coming up in the 10.0.0 release, failures when building the libraries are quite common. The errors we bump into are similar to:

    CMake Error at build/dist/lib/cmake/ArrowPython/ArrowPythonConfig.cmake:61 (arrow_keep_backward_compatibility):
      Unknown CMake command "arrow_keep_backward_compatibility".
    Call Stack (most recent call first):
      CMakeLists.txt:240 (find_package)

or

-- Found Python3Alt: /Users/alenkafrim/repos/pyarrow-dev-9/bin/python  
CMake Error at /opt/homebrew/Cellar/cmake/3.24.1/share/cmake/Modules/CMakeFindDependencyMacro.cmake:47 (find_package):
  By not providing "FindArrow.cmake" in CMAKE_MODULE_PATH this project has
  asked CMake to find a package configuration file provided by "Arrow", but
  CMake did not find one.


  Could not find a package configuration file provided by "Arrow" with any of
  the following names:


    ArrowConfig.cmake
    arrow-config.cmake


  Add the installation prefix of "Arrow" to CMAKE_PREFIX_PATH or set
  "Arrow_DIR" to a directory containing one of the above files.  If "Arrow"
  provides a separate development package or SDK, be sure it has been
  installed.
Call Stack (most recent call first):
  build/dist/lib/cmake/ArrowPython/ArrowPythonConfig.cmake:54 (find_dependency)
  CMakeLists.txt:240 (find_package)

Connected issues:

Reporter: Alenka Frim / @AlenkaF
Assignee: Anja Boskovic / @anjakefala

Related issues:

PRs and other links:

Note: This issue was originally created as ARROW-17753. Please see the migration documentation for further details.

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