Make sure the main-guard is prominently mentioned in our docu

[nils-braun]

There are still many people facing problems with tsfresh because they do not use the "main-guard` on windows, as described here and on our issue tracker here and here)

It basically boils down to:

if __name__ == "__main__":
    some-stuff

We should make sure this is mentioned prominently in all our documentations.