Improve error message about duplicate columns in df.explode
- [ ] closes #xxxx (Replace xxxx with the GitHub issue number)
- [x] [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
- [x] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
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- [ ] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

This is an attempt to improve the error message happening when exploding a column in a data frame with duplicate columns. 

As a newbie with pandas, it was really confusing to me why this happens – I was looking for a key inside the exploded column that would cause a duplicate. Eventually, I had to go to the source code to understand that it was not related. 

If listing the duplicate columns is too much/not a standard practice, I would vote for changing it at least to something like `data frame columns must be unique`.


Is this pull request associated with an existing issue? I haven't seen an issue like that reported. I've committed the suggested changes, thank you! Thanks @a-mroz 