DOC: warning section on memory overflow when joining/merging dataframes on index with duplicate keys
#### Code Sample, a copy-pastable example if possible

http://stackoverflow.com/questions/32750970/python-pandas-merge-causing-memory-overflow


    # coding: utf-8
    import pandas as pd
    data = pd.read_csv('https://gist.githubusercontent.com/xgdgsc/8671a22136e1da937f1046a5f211c0ff/raw/d261706a6e7d1d7014e45e47122ead71e7159ef4/small.csv', index_col='<Date>')
    print(data.shape)
    another = data[[ ' <Open>']]
    joined = data.join([another])
    print(joined.shape)


#### Problem description

Currently having  index with duplicate keys when joining dataframes would cause severe memory overflow, sometimes freezes the computer and user has to hard reboot, which can be disastrous for unsaved work.

#### Expected Output

Adding a simple checking before joining/merging , stop the operation and warn the user would be enough.

#### Output of ``pd.show_versions()``
<details>
INSTALLED VERSIONS
------------------
commit: None
python: 3.5.2.final.0
python-bits: 64
OS: Windows
OS-release: 10
machine: AMD64
processor: Intel64 Family 6 Model 60 Stepping 3, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None

pandas: 0.18.1
nose: 1.3.7
pip: 8.1.2
setuptools: 27.2.0
Cython: 0.24.1
numpy: 1.11.1
scipy: 0.18.1
statsmodels: 0.6.1
xarray: None
IPython: 5.1.0
sphinx: 1.4.6
patsy: 0.4.1
dateutil: 2.5.3
pytz: 2016.6.1
blosc: None
bottleneck: 1.1.0
tables: 3.2.2
numexpr: 2.6.1
matplotlib: 1.5.3
openpyxl: 2.3.2
xlrd: 1.0.0
xlwt: 1.1.2
xlsxwriter: 0.9.3
lxml: 3.6.4
bs4: 4.5.1
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.0.13
pymysql: None
psycopg2: None
jinja2: 2.8
boto: 2.42.0
pandas_datareader: None

</details>
