diff --git a/doc/source/development.rst b/doc/source/development.rst
index 6ea581aec..82c931aa5 100644
--- a/doc/source/development.rst
+++ b/doc/source/development.rst
@@ -34,7 +34,10 @@ RLlib, Tune, Autoscaler, and most Python files do not require you to build and c
     git remote add upstream https://github.com/ray-project/ray.git
     # Make sure you are up-to-date on master.
 
-4. Replace Python files in the installed package with your local editable copy. We provide a simple script to help you do this: ``ray/python/ray/setup-dev.py``. Running the script will remove the  ``ray/tune``, ``ray/rllib``, ``ray/autoscaler`` dir (among other directories) bundled with the ``ray`` pip package, and replace them with links to your local code.
+3. Replace Python files in the installed package with your local editable copy. We provide a simple script to help you do this: ``python python/ray/setup-dev.py``.
+Running the script will remove the  ``ray/tune``, ``ray/rllib``, ``ray/autoscaler`` dir (among other directories) bundled with the ``ray`` pip package, and replace them with links to your local code. This way, changing files in your git clone will directly affect the behavior of your installed ray.
+
+.. warning:: Do not run ``pip uninstall ray`` or ``pip install -U`` (for Ray or Ray wheels) if setting up your environment this way. To uninstall or upgrade, you must first ``rm -rf`` the pip-installation site (usually a ``site-packages/ray`` location), then do a pip reinstall (see 1. above), and finally run the above `setup-dev.py` script again.
 
 .. code-block:: shell
 
@@ -43,8 +46,6 @@ RLlib, Tune, Autoscaler, and most Python files do not require you to build and c
     # This replaces miniconda3/lib/python3.7/site-packages/ray/tune
     # with your local `ray/python/ray/tune`.
 
-.. warning:: Do not run ``pip uninstall ray`` or ``pip install -U`` (for Ray or Ray wheels) if setting up your environment this way. To uninstall or upgrade, you must ``rm -rf`` the installation site (usually a ``site-packages/ray`` location).
-
 Building Ray (full)
 -------------------
 
diff --git a/python/ray/setup-dev.py b/python/ray/setup-dev.py
index 793457943..a33fe129d 100755
--- a/python/ray/setup-dev.py
+++ b/python/ray/setup-dev.py
@@ -4,6 +4,7 @@
 import argparse
 import click
 import os
+import shutil
 import subprocess
 
 import ray
@@ -22,14 +23,25 @@ def do_link(package, force=False, local_path=""):
                 package_home, local_home),
             default=True):
         return
-    if os.access(os.path.dirname(package_home), os.W_OK):
-        subprocess.check_call(["rm", "-rf", package_home])
-        subprocess.check_call(["ln", "-s", local_home, package_home])
+    # Windows: Create directory junction.
+    if os.name == "nt":
+        try:
+            shutil.rmtree(package_home)
+        except FileNotFoundError:
+            pass
+        except OSError:
+            os.remove(package_home)
+        subprocess.check_call(
+            ["mklink", "/J", package_home, local_home], shell=True)
+    # Posix: Use `ln -s` to create softlink.
     else:
-        print("You don't have write permission to {}, using sudo:".format(
-            package_home))
-        subprocess.check_call(["sudo", "rm", "-rf", package_home])
-        subprocess.check_call(["sudo", "ln", "-s", local_home, package_home])
+        sudo = []
+        if not os.access(os.path.dirname(package_home), os.W_OK):
+            print("You don't have write permission to {}, using sudo:".format(
+                package_home))
+            sudo = ["sudo"]
+        subprocess.check_call(sudo + ["rm", "-rf", package_home])
+        subprocess.check_call(sudo + ["ln", "-s", local_home, package_home])
 
 
 if __name__ == "__main__":