DOC: Update instructions for installing from source

[david-cortes-intel]

Description

This PR updates the installation instructions for building oneDAL from source after the last changes in dependencies that have happened, and replaces dead links with more current ones.

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PR completeness and readability

• I have reviewed my changes thoroughly before submitting this pull request.
• I have updated the documentation to reflect the changes or created a separate PR with update and provided its number in the description, if necessary.
• Git commit message contains an appropriate signed-off-by string (see CONTRIBUTING.md for details).
• I have added a respective label(s) to PR if I have a permission for that.
• I have resolved any merge conflicts that might occur with the base branch.

Testing

Not applicable.

Performance

Not applicable.