Implement locally stored docs. Uses web when local not available.

.github/workflows/windows-build.yml

@@ -40,6 +40,7 @@ jobs:
           python -m pip install --upgrade pip
           python -m pip install cffi
           python -m pip install zstandard
+          python -m pip install sphinx
 
           $ProgressPreference = 'SilentlyContinue'
           function Download-WithRetry {