Add note to update CONTRIBUTING.md if things in this script change.

Author: PGijsbers

ci_scripts/flake8_diff.sh

@@ -1,4 +1,7 @@
 #!/bin/bash
 
+# Update /CONTRIBUTING.md if these commands change.
+# The reason for not advocating using this script directly is that it
+# might not work out of the box on Windows.
 flake8 --ignore E402,W503 --show-source --max-line-length 100 $options
 mypy openml --ignore-missing-imports --follow-imports skip