added VC++ requirement for building pip packages

SETUP.md

@@ -26,7 +26,9 @@ Depending on the type of NLP system and the notebook that needs to be run, there
 ### Requirements
 
 * A machine running Linux, MacOS or Windows.  
-    > NOTE: Windows machines are not **FULLY SUPPORTED**. Please use at your own risk.  
+    > NOTE: Windows machines are not **FULLY SUPPORTED**. Please use at your own risk.<br>
+    > On Windows, Microsoft Visual C++ 14.0 is required for building certain packages. Download Microsoft Visual C++ Build Tools here: https://visualstudio.microsoft.com/downloads/
+
 * Miniconda or Anaconda with Python version >= 3.6.
     * This is pre-installed on Azure DSVM such that one can run the following steps directly. To setup on your local machine, [Miniconda](https://docs.conda.io/en/latest/miniconda.html) is a quick way to get started.
     * It is recommended to update conda to the latest version: `conda update -n base -c defaults conda`