docs: Add notice about WindowsSelectorEventLoop on py38

Fixes tornadoweb#2608

Author: bdarnell

docs/index.rst

@@ -120,6 +120,13 @@ is limited (Even though Tornado is built on ``asyncio``, which
 supports Windows, Tornado does not use the APIs that are necessary for
 scalable networking on Windows).
 
+On Windows, Tornado requires the ``WindowsSelectorEventLoop``. This is
+the default in Python 3.7 and older, but Python 3.8 defaults to an
+event loop that is not compatible with Tornado. Applications that use
+Tornado on Windows with Python 3.8 must call
+``asyncio.set_event_loop_policy(asyncio.WindowsSelectorEventLoopPolicy())``
+at the beginning of their ``main`` file/function.
+
 Documentation
 -------------