stubtest_third_party.py: Make it work on Windows

[AlexWaygood]

No description provided.

[Akuli]

Is there a reason to run the script locally?

[AlexWaygood]

Is there a reason to run the script locally?

I've never felt a need to. However, here's a few reasons why I think this change would be worthwhile:

• tests/README.md advertises it as a test that can be run locally. If we don't want to fix it so it's runnable on Windows, we should probably amend the docs to clarify that it can only be run locally if you're on a non-Windows platform.
• If you're contributing stubs for a new package (something I've only done once), you might plausibly have a good reason for running this script locally before filing a PR. The "create a clean virtual environment for testing, then automatically delete the virtual environment after you've finished testing" feature seems quite useful.
• If we merge Added stubs for D3DShot #8652, we'll probably want to add a way to stubtest at least some third-party packages on Windows in CI (#8660), since D3DShot is a Windows-only package. This change will be necessary if we want to start stubtesting third-party packages on Windows in CI.

[Akuli]

This function has quite a few local variables, but refactoring it is beyond the scope of this PR.