Title: Better error message when input file does not exist
State: closed

In the following scenario, when `data_files` is an empty list, the stack trace and error message could be improved. This can probably be solved by checking for each file whether it actually exists and/or whether the argument is not false-y.

```python
dataset = load_dataset("text", data_files=[])
```

Example error trace.

```
Using custom data configuration default
Downloading and preparing dataset text/default-d18f9b6611eb8e16 (download: Unknown size, generated: Unknown size, post-processed: Unknown sizetotal: Unknown size) to C:\Users\bramv\.cache\huggingface\datasets\text\default-d18f9b6611eb8e16\0.0.0\3a79870d85f1982d6a2af884fde86a71c771747b4b161fd302d28ad22adf985b...
Traceback (most recent call last):
  File "C:\Users\bramv\.virtualenvs\dutch-simplification-nbNdqK9u\lib\site-packages\nlp\builder.py", line 424, in incomplete_dir
    yield tmp_dir
  File "C:\Users\bramv\.virtualenvs\dutch-simplification-nbNdqK9u\lib\site-packages\nlp\builder.py", line 462, in download_and_prepare
    self._download_and_prepare(
  File "C:\Users\bramv\.virtualenvs\dutch-simplification-nbNdqK9u\lib\site-packages\nlp\builder.py", line 537, in _download_and_prepare
    self._prepare_split(split_generator, **prepare_split_kwargs)
  File "C:\Users\bramv\.virtualenvs\dutch-simplification-nbNdqK9u\lib\site-packages\nlp\builder.py", line 813, in _prepare_split
    num_examples, num_bytes = writer.finalize()
  File "C:\Users\bramv\.virtualenvs\dutch-simplification-nbNdqK9u\lib\site-packages\nlp\arrow_writer.py", line 217, in finalize
    self.pa_writer.close()
AttributeError: 'NoneType' object has no attribute 'close'

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "C:/dev/python/dutch-simplification/main.py", line 7, in <module>
    dataset = load_dataset("text", data_files=files)
  File "C:\Users\bramv\.virtualenvs\dutch-simplification-nbNdqK9u\lib\site-packages\nlp\load.py", line 548, in load_dataset
    builder_instance.download_and_prepare(
  File "C:\Users\bramv\.virtualenvs\dutch-simplification-nbNdqK9u\lib\site-packages\nlp\builder.py", line 470, in download_and_prepare
    self._save_info()
  File "c:\users\bramv\appdata\local\programs\python\python38\lib\contextlib.py", line 131, in __exit__
    self.gen.throw(type, value, traceback)
  File "C:\Users\bramv\.virtualenvs\dutch-simplification-nbNdqK9u\lib\site-packages\nlp\builder.py", line 430, in incomplete_dir
    shutil.rmtree(tmp_dir)
  File "c:\users\bramv\appdata\local\programs\python\python38\lib\shutil.py", line 737, in rmtree
    return _rmtree_unsafe(path, onerror)
  File "c:\users\bramv\appdata\local\programs\python\python38\lib\shutil.py", line 615, in _rmtree_unsafe
    onerror(os.unlink, fullname, sys.exc_info())
  File "c:\users\bramv\appdata\local\programs\python\python38\lib\shutil.py", line 613, in _rmtree_unsafe
    os.unlink(fullname)
PermissionError: [WinError 32] The process cannot access the file because it is being used by another process: 'C:\\Users\\bramv\\.cache\\huggingface\\datasets\\text\\default-d18f9b6611eb8e16\\0.0.0\\3a79870d85f1982d6a2af884fde86a71c771747b4b161fd302d28ad22adf985b.incomplete\\text-train.arrow'
```

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