DOC: Updated doc with imp note(#39130)
Updated the file doc/source/getting_started/comparison/comparison_with_sql.rst with an important note which suggests readers to execute the code block in notebook to follow the documentation's tutorial.

- [x] closes #39130
- [ ] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [ ] whatsnew entry
