[docs] fix link to multiple OpenMP issue description (microsoft#6562)

docs/FAQ.rst

@@ -202,7 +202,7 @@ If you are using any Python package that depends on ``threadpoolctl``, you also
 
 Detailed description of conflicts between multiple OpenMP instances is provided in the `following document <https://github.com/joblib/threadpoolctl/blob/master/multiple_openmp.md>`__.
 
-**Solution**: Assuming you are using LightGBM Python-package and conda as a package manager, we strongly recommend using ``conda-forge`` channel as the only source of all your Python package installations because it contains built-in patches to workaround OpenMP conflicts. Some other workarounds are listed `here <https://github.com/joblib/threadpoolctl/blob/master/multiple_openmp.md#user-content-workarounds-for-intel-openmp-and-llvm-openmp-case>`__.
+**Solution**: Assuming you are using LightGBM Python-package and conda as a package manager, we strongly recommend using ``conda-forge`` channel as the only source of all your Python package installations because it contains built-in patches to workaround OpenMP conflicts. Some other workarounds are listed `here <https://github.com/joblib/threadpoolctl/blob/master/multiple_openmp.md>`__ under the "Workarounds for Intel OpenMP and LLVM OpenMP case" section.
 
 If this is not your case, then you should find conflicting OpenMP library installations on your own and leave only one of them.