apacheGH-38145: [Docs][Python] Add tzdata on Windows subsection in Py…

…thon install docs (apache#38146)

### What changes are included in this PR?

The option to set custom path to timezone database through python API has been implemented in apache#35600 and is documented in `docs/source/python/install.rst` with this PR.

* Closes: apache#38145

Authored-by: AlenkaF <frim.alenka@gmail.com>
Signed-off-by: Joris Van den Bossche <jorisvandenbossche@gmail.com>

docs/source/python/install.rst

@@ -75,3 +75,20 @@ Optional dependencies
 
 Additional packages PyArrow is compatible with are :ref:`fsspec <filesystem-fsspec>`
 and **pytz**, **dateutil** or **tzdata** package for timezones.
+
+tzdata on Windows
+^^^^^^^^^^^^^^^^^
+
+While Arrow uses the OS-provided timezone database on Linux and macOS, it requires a
+user-provided database on Windows. To download and extract the text version of
+the IANA timezone database follow the instructions in the C++
+:ref:`download-timezone-database`.
+
+By default, the timezone database will be detected at ``%USERPROFILE%\Downloads\tzdata``.
+If the database has been downloaded in a different location, you will need to set
+a custom path to the database from Python:
+
+.. code-block:: python
+
+   >>> import pyarrow as pa
+   >>> pa.set_timezone_db_path("custom_path")