Adds clearer instructions for local mode UI

[skrawcz]

So that people also install the SDK at the same time, and that the windows instruction is in the right places too.

Changes

• docs

How I tested this

Notes

Checklist

• [ ] PR has an informative and human-readable title (this will be pulled into the release notes)
• [ ] Changes are limited to a single goal (no scope creep)
• [ ] Code passed the pre-commit check & code is left cleaner/nicer than when first encountered.
• [ ] Any change in functionality is tested
• [ ] New functions are documented (with a description, list of inputs, and expected output)
• [ ] Placeholder code is flagged / future TODOs are captured in comments
• [ ] Project documentation has been updated if adding/changing functionality.