[docs] update link to GitHub anchor conventions (microsoft#3085)

docs/FAQ.rst

@@ -290,6 +290,6 @@ We are doing our best to provide universal wheels which have high running speed
 However, sometimes it's just impossible to guarantee the possibility of usage of LightGBM in any specific environment (see `Microsoft/LightGBM#1743 <https://github.com/microsoft/LightGBM/issues/1743>`__).
 
 Therefore, the first thing you should try in case of segfaults is **compiling from the source** using ``pip install --no-binary :all: lightgbm``.
-For the OS-specific prerequisites see `this guide <https://github.com/microsoft/LightGBM/blob/master/python-package/README.rst#build-from-sources>`__.
+For the OS-specific prerequisites see `this guide <https://github.com/microsoft/LightGBM/blob/master/python-package/README.rst#user-content-build-from-sources>`__.
 
 Also, feel free to post a new issue in our GitHub repository. We always look at each case individually and try to find a root cause.