PR Summary

This PR builds on #25209 so won't have as many changed files upon rebase - only look at the second commit to see what this entails..

It sets up the conf.py to make /galleries/users_explain create /doc/users/explain using sphinx-gallery. There are no other changes, so this is a useless use of sphinx-gallery 😉, but the point is to show how this would look. After this, we can start re-organizing and using *.py gallery files interspersed with *.rst, and using our own index.rst at each level.

PR Checklist

Documentation and Tests

• Has pytest style unit tests (and pytest passes)
• Documentation is sphinx and numpydoc compliant (the docs should build without error).
• New plotting related features are documented with examples.

Release Notes

• New features are marked with a .. versionadded:: directive in the docstring and documented in doc/users/next_whats_new/
• API changes are marked with a .. versionchanged:: directive in the docstring and documented in doc/api/next_api_changes/
• Release notes conform with instructions in next_whats_new/README.rst or next_api_changes/README.rst