[doc] Update document for building from source. (#7664)
[doc] Update document for building from source. (#7664)

- Mention standard install command for R package.
- Remove repeated "get source" step.
- Remove troubleshooting on Windows.  It's outdated considering VS 2022 is already out.
dmlc/xgboost,dmlc/xgboost,dmlc/xgboost,dmlc/xgboost,dmlc/xgboost,dmlc/xgboost