documentation: add setup commands for documentation generation (#4260)

Co-authored-by: Shing Lyu <[email protected]>

Author: shinglyu

CONTRIBUTING.md

@@ -227,6 +227,12 @@ For example, see the [Processing API reference](https://github.com/aws/sagemaker
 
 To build the Sphinx docs, run the following command in the `doc/` directory:
 
+```shell
+# Initial setup, only required for the first run
+pip install -r requirements.txt
+pip install -e ../
+```
+
 ```shell
 make html
 ```