Ensure cfg is removed, and add a message

cibuildwheel/windows.py

@@ -174,6 +174,8 @@ def setup_setuptools_cross_compile(
             f"Unable to configure setuptools for cross-compiling because {distutils_cfg} is a directory"
         )
         return
+    else:
+        atexit.register(lambda: distutils_cfg.unlink)
 
     # Ensure our additional import libraries are made available, and explicitly
     # set the platform name
@@ -183,6 +185,8 @@ def setup_setuptools_cross_compile(
     distutils_cfg.write_text(
         textwrap.dedent(
             f"""\
+            # I am a temporary configuration file generated by cibuildwheel.
+            # Please remove me or I will likely break your other builds.
             [build]
             plat_name={plat_name}
             [build_ext]