docs: add beginner-friendly local setup guide

[adhraj12]

Fixes #3105

Motivation

As a new contributor, I found that having a dedicated local setup guide clarifies the prerequisites and build steps.

Modifications

• Added docs/local_setup.md to provide a clear entry point for new developers.
• Included specific troubleshooting for "unmappable character" errors on Windows (-Dfile.encoding=UTF-8), which I discovered and verified during my own setup.

Verification

• Verify design and implementation: Created a new markdown guide based on repository standards.
• Verify test coverage and CI build status: Manually verified the build locally using the instructions in the new guide. (Build Successful).
• Verify documentation: This PR is documentation.

Committer Checklist

• Verify design and implementation
• Verify test coverage and CI build status
• Verify documentation (including upgrade notes)

[CLAassistant]

All committers have signed the CLA.

[KaimingWan]

@adhraj12 Hi,thank you for your contribution, we have some suggestions. Regarding deployment, the beginning of the Readme already provides instructions for Docker startup and other relevant reference methods. The content about local setup actually falls more into the scope of how to debug locally and contribute code. Could you help optimize the existing CONTRIBUTING_GUIDE.md content instead of creating a new file?