GH-44991: [CI][Python] Fix and modernize AppVeyor build

1. Use Mambaforge instead of outdated Miniconda install
2. Install PyArrow using pip, not setup.py

Also fixes GH-44997.

ci/appveyor-cpp-build.bat

@@ -34,7 +34,6 @@ IF "%ARROW_DEBUG_MEMORY_POOL%"=="" (
 set CMAKE_BUILD_PARALLEL_LEVEL=%NUMBER_OF_PROCESSORS%
 set CTEST_PARALLEL_LEVEL=%NUMBER_OF_PROCESSORS%
 
-
 call activate arrow
 
 @rem The "main" C++ build script for Windows CI
@@ -113,12 +112,12 @@ ctest --output-on-failure || exit /B
 
 popd
 
+pushd python
+
 @rem
 @rem Build and install pyarrow
 @rem
 
-pushd python
-
 set PYARROW_CMAKE_GENERATOR=%GENERATOR%
 set PYARROW_CXXFLAGS=%ARROW_CXXFLAGS%
 set PYARROW_PARALLEL=2
@@ -137,6 +136,12 @@ set ARROW_HOME=%CONDA_PREFIX%\Library
 @rem ARROW-3075; pkgconfig is broken for Parquet for now
 set PARQUET_HOME=%CONDA_PREFIX%\Library
 
+pip install --no-deps --no-build-isolation -vv --editable .
+
+@rem
+@rem Run pyarrow tests
+@rem
+
 @rem Download IANA Timezone Database to a non-standard location to
 @rem test the configurability of the timezone database path
 curl https://data.iana.org/time-zones/releases/tzdata2024b.tar.gz --output tzdata.tar.gz || exit /B
@@ -150,12 +155,8 @@ rmdir /s /q %USERPROFILE%\Downloads\tzdata
 @rem (only needed for testing purposes)
 set PYARROW_TZDATA_PATH=%USERPROFILE%\Downloads\test\tzdata
 
-python setup.py develop -q || exit /B
-
 set PYTHONDEVMODE=1
 
-py.test -r sxX --durations=15 --pyargs pyarrow.tests || exit /B
+python -m pytest -r sxX --durations=15 pyarrow/tests || exit /B
 
-@rem
-@rem Wheels are built and tested separately (see ARROW-5142).
-@rem
+popd

ci/appveyor-cpp-setup.bat

@@ -17,7 +17,13 @@
 
 @echo on
 
-set "PATH=C:\Miniconda38-x64;C:\Miniconda38-x64\Scripts;C:\Miniconda38-x64\Library\bin;%PATH%"
+@rem
+@rem The miniconda install on AppVeyor is very outdated, use Mambaforge instead
+@rem
+
+appveyor DownloadFile https://github.com/conda-forge/miniforge/releases/download/24.9.2-0/Mambaforge-Windows-x86_64.exe || exit /B
+start /wait "" Mambaforge-Windows-x86_64.exe /InstallationType=JustMe /RegisterPython=0 /S /D=C:\Mambaforge
+set "PATH=C:\Mambaforge\scripts;C:\Mambaforge\condabin;%PATH%"
 
 @rem
 @rem Avoid picking up AppVeyor-installed OpenSSL (linker errors with gRPC)
@@ -33,26 +39,15 @@ rd /s /q C:\OpenSSL-v30-Win32
 rd /s /q C:\OpenSSL-v30-Win64
 
 @rem
-@rem Configure miniconda
+@rem Configure conda
 @rem
 conda config --set auto_update_conda false
-conda config --set show_channel_urls True
+conda config --set show_channel_urls true
+conda config --set always_yes true
 @rem Help with SSL timeouts to S3
 conda config --set remote_connect_timeout_secs 12
-@rem Workaround for ARROW-13636
-conda config --append disallowed_packages pypy3
-conda info -a
-
-@rem
-@rem Install Python to the base environment
-@rem
-conda install -q -y -c conda-forge python=%PYTHON% || exit /B
 
-@rem Can't use conda-libmamba-solver 2.0.0
-conda config --set solver classic
-
-@rem Update for newer CA certificates
-conda update -q -y -c conda-forge --all || exit /B
+conda info -a || exit /B
 
 @rem
 @rem Create conda environment
@@ -66,11 +61,8 @@ if "%ARROW_BUILD_GANDIVA%" == "ON" (
 )
 @rem Install pre-built "toolchain" packages for faster builds
 set CONDA_PACKAGES=%CONDA_PACKAGES% --file=ci\conda_env_cpp.txt
-@rem Force conda to use conda-forge
-conda config --add channels conda-forge
-conda config --remove channels defaults
 @rem Arrow conda environment
-conda create -n arrow -y -c conda-forge ^
+conda create -n arrow ^
   --file=ci\conda_env_python.txt ^
   %CONDA_PACKAGES%  ^
   "ccache" ^
@@ -97,7 +89,6 @@ if "%ARROW_S3%" == "ON" (
   appveyor DownloadFile https://dl.min.io/server/minio/release/windows-amd64/archive/minio.RELEASE.2024-09-13T20-26-02Z -FileName C:\Windows\Minio.exe || exit /B
 )
 
-
 @rem
 @rem Download IANA Timezone Database for unit tests
 @rem