Update error message when saving multiindex (pydata#7475)

* update error message on saving multiindex

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Co-authored-by: pre-commit-ci[bot] <66853113+pre-commit-ci[bot]@users.noreply.github.com>
Co-authored-by: Deepak Cherian <dcherian@users.noreply.github.com>

Author: 3 people

xarray/conventions.py

@@ -197,10 +197,11 @@ def ensure_not_multiindex(var: Variable, name: T_Name = None) -> None:
     if isinstance(var, IndexVariable) and isinstance(var.to_index(), pd.MultiIndex):
         raise NotImplementedError(
             "variable {!r} is a MultiIndex, which cannot yet be "
-            "serialized to netCDF files "
-            "(https://github.com/pydata/xarray/issues/1077). Use "
-            "reset_index() to convert MultiIndex levels into coordinate "
-            "variables instead.".format(name)
+            "serialized to netCDF files. Instead, either use reset_index() "
+            "to convert MultiIndex levels into coordinate variables instead "
+            "or use https://cf-xarray.readthedocs.io/en/latest/coding.html.".format(
+                name
+            )
         )