Warn Windows developers to use short filepaths to reduce conflicts

Adds note in docs under "Set Up Your Environment" that long
filepaths will be troublesome if working on Windows platform.

Also fixes up some formatting of other points and italicises paths
for menu actions to help visually stand out from rest of text.

Updates a couple of URLs that have since 301 to new places.

Related to #1519
Merge pull request #1603 from randomecho/1519-docs-warn-windows-devs-on-filenames

Documentation: Update developer setup instructions to improve readability, correct URLs [ci skip]