Improve error message for SSL: CERTIFICATE_VERIFY_FAILED error

On Windows the error message can be very unhelpful also.

The >3k views on "SSL: CERTIFICATE_VERIFY_FAILED" error on Python 3.9.6 (Windows 10) probably include many people searching for some solution.

(As mentioned in SSL certificate debugging the message is sometimes very misleading.)

pip install certifi is likely a completely wrong direction on Windows though, so this would maybe have to be a platform specific message.

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