Faiss _is_ available on Windows
Sure, feel free to open a PR.
In the setup file, I find the following:

https://github.com/huggingface/datasets/blob/87c71b9c29a40958973004910f97e4892559dfed/setup.py#L171

However, FAISS does install perfectly fine on Windows on my system. You can also confirm this on the [PyPi page](https://pypi.org/project/faiss-cpu/#files), where Windows wheels are available. Maybe this was true for older versions? For current versions, this can be removed I think.

(This isn't really a bug but didn't know how else to tag.)

If you agree I can do a quick PR and remove that line.