[doc] Fix a MLFlow doc for mlflow.set_tracking_uri (#57973)

## Description
1. the `mlflow.start_run()` does not have the `tracking_uri` arg:
https://mlflow.org/docs/latest/api_reference/python_api/mlflow.html#mlflow.start_run
2. rewrite the mlflow set up as follow
```
mlflow.set_tracking_uri(uri="file://some_shared_storage_path/mlruns")
mlflow.set_experiment("my_experiment")
mlflow.start_run()
```

## Related issues
N/A

---------

Signed-off-by: Lehui Liu <lehui@anyscale.com>

Author: liulehui

doc/source/train/user-guides/experiment-tracking.rst

@@ -182,8 +182,9 @@ If applicable, make sure that you properly set up credentials on each training w
 
         .. testcode::
             :skipif: True
-
-            mlflow.start_run(tracking_uri="file:some_shared_storage_path/mlruns")
+            
+            mlflow.set_tracking_uri(uri="file://some_shared_storage_path/mlruns")
+            mlflow.start_run()
 
         **Remote, hosted by Databricks**