Add instructions for "PATH too long" warning on Windows (#3720) (#3721)

Co-authored-by: Dongdong Tian <[email protected]>

Author: github-actions[bot]

INSTALL.md

@@ -37,6 +37,18 @@ In addition to the GMT installer, you also need to download and install
 [GraphicsMagick](http://www.graphicsmagick.org/) if you want to create
 animated GIFs.
 
+**NOTE:**
+At the installation step, you may get the warning message:
+
+> Warning! Failed to add GMT to PATH. Please add the GMT bin path to PATH manually.
+
+Usually it means your system variable **PATH** is already too long and the GMT
+installer can't add its path to the variable. As it says, you need to ignore
+the warning message, and then manually add the GMT bin path
+(e.g., `C:\programs\gmt6`) to **PATH** after finishing the installation.
+If you don't know how to manually modify **PATH**, just search Google for
+"How to change windows path variable".
+
 ## macOS
 
 ### Application Bundle