Add setup-conda action
Smaller version of https://github.com/pandas-dev/pandas/pull/46493 according to suggestion in https://github.com/pandas-dev/pandas/pull/46493#issuecomment-1079541210. Should be orthogonal to https://github.com/pandas-dev/pandas/pull/46538.

- [x] closes #39175 (Replace xxxx with the Github issue number)
- [ ] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [ ] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [ ] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

cc @lithomas1 because you were worried about GHA capacity. I think this is fine now because of https://github.com/pandas-dev/pandas/issues/46600. looks ok. are we backporting these @mroeschke ? > we should be able to revert the windows or the mac changes

This is a fair point. Might be good to just do macOS in 1 PR and Windows in another PR. Having them in separate workflows might be a good idea too since the paths and setup might differ a bit

Would probably need backporting when ready. Added back Azure CI and enabled Windows only. I left the workflow name identical for now Can some please re-run the failed jobs? > Can some please re-run the failed jobs?

The easiest is usually to close and reopen the PR, and everything should re-run. Let me know of that doesn't work. This pull request is stale because it has been open for thirty days with no activity. Please [update](https://pandas.pydata.org/pandas-docs/stable/development/contributing.html#updating-your-pull-request) and respond to this comment if you're still interested in working on this. Merged with main and reduced number of changes in this PR. It now mainly adds new actions that can be used by the other workflows in subsequent PRs, to deduplicate workflow code. Would it be possible to do `setup-pandas` in this PR and `run-tests` in another PR? It would help isolate the change and make it easier for review.

Also, for `setup-pandas` it would be nice to get rid of the `setup-env.sh` script since I think only the docbuild script uses that file. > Also, for `setup-pandas` it would be nice to get rid of the `setup-env.sh` script since I think only the docbuild script uses that file.

And CircleCI. Shall I move docbuild to `setup-pandas` in this PR or in another PR? > > Also, for `setup-pandas` it would be nice to get rid of the `setup-env.sh` script since I think only the docbuild script uses that file.
> 
> And CircleCI. Shall I move docbuild to `setup-pandas` in this PR or in another PR?

I think it would be okay to do it in this PR Moved `setup_env` to CircleCI folder and change docbuild to use new action. Let's see if this works. Awesome, thanks for the simplifying and the cleanup @jonashaag 