Mention new setup instructions

Change-Id: I60a263b30ece4651153f34f8bd43f83026b5714a

python/doc/install.rst

@@ -120,6 +120,10 @@ Install `pyarrow`
 
     cd arrow/python
 
+    # --with-parquet enable the Apache Parquet support in PyArrow
+    # --build-type=release disables debugging information and turns on
+    #       compiler optimizations for native code
+    python setup.py build_ext --with-parquet --build-type=release install
     python setup.py install
 
 .. warning::

python/doc/parquet.rst

@@ -21,7 +21,8 @@ Reading/Writing Parquet files
 If you have built ``pyarrow`` with Parquet support, i.e. ``parquet-cpp`` was
 found during the build, you can read files in the Parquet format to/from Arrow
 memory structures. The Parquet support code is located in the
-:mod:`pyarrow.parquet` module.
+:mod:`pyarrow.parquet` module and your package needs to be built with the
+``--with-parquet`` flag for ``build_ext``.
 
 Reading Parquet
 ---------------