Update BUILDING.md (#2332)

* Update BUILDING.md

Adds a note to be sure to pull in libultraship when building for Windows

* Fix syntax for consistency

* Maybe this is better?

I'm doing great. XD

BUILDING.md

@@ -22,6 +22,9 @@ You can also find the v142 toolset by searching through the individual component
 While you're there, you can also install Python 3 and Git if needed.
 
 1. Clone the Ship of Harkinian repository
+
+_Note: Be sure to either clone with the ``--recursive`` flag or do ``git submodule init`` after cloning to pull in the libultraship submodule!_
+
 2. Place one or more [compatible](#compatible-roms) roms in the `OTRExporter` directory with namings of your choice
 
 _Note: Instructions assume using powershell_