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GH-35056: [Python][CI] Don't install gdb on Windows (#35057)

Because it's not available on Windows.

### Rationale for this change

The gdb conda package isn't available on Windows:

https://ci.appveyor.com/project/ApacheSoftwareFoundation/arrow/builds/46748401#L266

```text
C:\projects\arrow>mamba create -n arrow -y -c conda-forge   --file=ci\conda_env_python.txt    --file=ci\conda_env_gandiva_win.txt --file=ci\conda_env_cpp.txt    "ccache"   "cmake"   "ninja"   "nomkl"   "pandas"   "fsspec"   "python=3.10"     || exit /B 
conda-forge/win-64                                          Using cache
conda-forge/noarch                                          Using cache
Looking for: ['boto3', 'cffi', 'cython', 'cloudpickle', 'fsspec', 'gdb', 'hypothesis', "numpy[version='>=1.16.6']", 'pytest', 'pytest-faulthandler', 'pytest-lazy-fixture', "s3fs[version='>=2021.8.0']", 'setuptools', 'setuptools_scm', "clangdev[version='<15']", "llvmdev[version='<15']", 'aws-sdk-cpp==1.10.13', "benchmark[version='>=1.6.0']", "boost-cpp[version='>=1.68.0']", 'brotli', 'bzip2', 'c-ares', 'cmake', 'flatbuffers', 'gflags', 'glog', "gmock[version='>=1.10.0']", "google-cloud-cpp[version='>=1.34.0']", 'grpc-cpp', "gtest[version='>=1.10.0']", 'libprotobuf', 'libutf8proc', 'lz4-c', 'make', 'ninja', 'orc', 'pkg-config', 'python', 'rapidjson', 're2', 'snappy', "thrift-cpp[version='>=0.11.0']", 'xsimd', 'zlib', 'zstd', 'ccache', 'cmake', 'ninja', 'nomkl', 'pandas', 'fsspec', 'python=3.10']
Could not solve for environment specs
The following package could not be installed
└─ gdb   does not exist (perhaps a typo or a missing channel).
C:\projects\arrow>set lastexitcode=1 
```

### What changes are included in this PR?

Don't install gdb on Windows.

### Are these changes tested?

Yes.

### Are there any user-facing changes?

No.
* Closes: #35056

Authored-by: Sutou Kouhei <kou@clear-code.com>
Signed-off-by: Joris Van den Bossche <jorisvandenbossche@gmail.com>