Add note on DLL support (#1137)

INSTALL.md

@@ -70,7 +70,9 @@ You can link OpenTelemetry C++ SDK with libraries provided in [dependencies.md](
      configuration, the code is compiled without `-fpic` option, so it is not
      suitable for inclusion in shared libraries. To enable the code for
      inclusion in shared libraries, this variable is used.
-
+   - `-DBUILD_SHARED_LIBS=ON` : To build shared libraries for the targets. Please
+      refer to note [below](#building-shared-libs-for-windows) for Windows DLL
+      support
    - `-DWITH_OTLP=ON` : To enable building Otlp exporter.
    - `-DWITH_PROMETHEUS=ON` : To enable building prometheus exporter.
 
@@ -241,6 +243,12 @@ cc_library(
 )
 ```
 
+## Building shared libs for Windows
+
+Windows DLL build is not supported. There are some constraints on how C++ DLLs work on
+Windows, specifically we can't safely allocate memory in one DLL and free it in another.
+For now, OpenTelemetry C++ targets need to be statically linked into the Windows applications.
+
 ## Using Package Managers
 
 If you are using [Conan](https://www.conan.io/) to manage your dependencies,