Fix README documentation link

[Rbiessy]

Description

The existing link is giving a 404 error as building_the_project.rst was split in 2 different files as of https://github.com/oneapi-src/oneMKL/pull/510.

Checklist

All Submissions

• [N/A] Do all unit tests pass locally? Attach a log.
• [N/A] Have you formatted the code using clang-format?