Explicitly prevent using multiprocess on windows.

Add note to docs explaining why windows+processes is unsupported.

docs/consumer.rst

@@ -218,6 +218,12 @@ different mechanisms to achieve this concurrency.
 
 When in doubt, the default setting (``thread``) is a safe choice.
 
+.. warning::
+    Multiprocess support is not available for Windows. The only process start
+    method available on Windows is "spawn", which has the downside of requiring
+    the Huey state to be pickled. Huey uses (and creates) many objects which
+    cannot be pickled. More information here: `multiprocessing documentation <https://docs.python.org/3/library/multiprocessing.html#the-spawn-and-forkserver-start-methods>`_.
+
 Using gevent
 ^^^^^^^^^^^^
 

huey/bin/huey_consumer.py

@@ -4,6 +4,7 @@
 import os
 import sys
 
+from huey.constants import WORKER_PROCESS
 from huey.consumer import Consumer
 from huey.consumer_options import ConsumerConfig
 from huey.consumer_options import OptionParserHandler
@@ -41,6 +42,10 @@ def consumer_main():
     config = ConsumerConfig(**options)
     config.validate()
 
+    if sys.platform == 'win32' and config.worker_type == WORKER_PROCESS:
+        err('Error:  huey cannot be run in "process"-mode on Windows.')
+        sys.exit(1)
+
     huey_instance = load_huey(args[0])
 
     # Set up logging for the "huey" namespace.