Add "no OPENSSL_Applink" warning when SSLKEYLOGFILE is set on win32

[LuomingXu]

Summary

[Windows Only] SSLKEYLOGFILE can trigger the "no OPENSSL_Applink" error.
OpenSSL on Windows requires an 'Applink' interface to safely perform I/O
(like logging keys) across different C-Runtimes (CRT). Since CPython doesn't
provide this bridge and manages I/O independently, OpenSSL fails to access
Windows stdio, leading to a crash or the "no OPENSSL_Applink" error.

Why add this warning or not

我遇到这个问题时被chatgpt和gemini误导走了弯路, 一直以为是多个libssl.dll
加载导致了这个错误, 还用process manager和process explorer去查是不是
加载了多个libssl, 发现没有, 再去搜, 后来才知道因为之前用wireshark, 添加了
SSLKEYLOGFILE环境变量, 导致了这个问题. 我用的httpx才出现了这个问题
若是觉得不应添加这个警告, 便关闭这个pr吧.
或者你觉得应该, 但是应添在其它地方.

Checklist

• I understand that this PR may be closed in case there was no previous discussion. (This doesn't apply to typos!)
• I've added a test for each change that was introduced, and I tried as much as possible to make a single atomic change.
• I've updated the documentation accordingly.