add note about Windows setuptools dependency to install doc

docs/source/install/install.txt

@@ -26,6 +26,14 b' the most simple method of installing IPython and its dependencies. It is not'
 required though.  More information about :mod:`setuptools` can be found on its
 website.
 
+.. note::
+
+    On Windows, IPython *does* depend on :mod:`setuptools`, and it is recommended
+    that you install the :mod:`distribute` package, which improves
+    :mod:`setuptools` and fixes various bugs.
+    
+    We hope to remove this dependency in 0.12.
+
 More general information about installing Python packages can be found in
 Python's documentation at http://www.python.org/doc/.
 
@@ -101,6 +109,12 b' permissions, you may need to run the last command with :command:`sudo`.'
 Windows
 -------
 
+.. note::
+
+    On Windows, IPython requires :mod:`setuptools` or :mod:`distribute`.
+    
+    We hope to remove this dependency in 0.12.
+
 There are a few caveats for Windows users.  The main issue is that a basic
 ``python setup.py install`` approach won't create ``.bat`` file or Start Menu
 shortcuts, which most users want.  To get an installation with these, you can