404 when fetching datasets with sklearn.datasets.fetch_openml

### Describe the bug

My Azure DevOps pipeline started failing to fetch data from OpenML with 404 as of 9 August. My original line in a Jupyter notebook uses `fetch_openml(name='SPECT', version=1, parser='auto')`; but I've not been able to download any other dataset either (e.g., iris, miceprotein).

The SPECT dataset at OpenML [here ](https://www.openml.org/search?type=data&status=active&id=336) looks ok. So is this a scikit-learn bug rather than an OpenML one? I can't find any reported issues about this at https://github.com/openml/openml.org/issues either.

### Steps/Code to Reproduce

```
from sklearn.datasets import fetch_openml
fetch_openml(name='SPECT', version=1, parser='auto')
```

### Expected Results

Data should be fetched with no error.

### Actual Results

This is from scikit-learn 1.5.1 and Python 3.9.20 in my local Windows Python interpreter:
```
C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\site-packages\sklearn\datasets\_openml.py:107: UserWarning: A network error occurred while downloading https://api.openml.org/data/v1/download/52239. Retrying...
  warn(
Traceback (most recent call last):
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\site-packages\IPython\core\interactiveshell.py", line 3526, in run_code
    exec(code_obj, self.user_global_ns, self.user_ns)
  File "<ipython-input-3-de4cc69a81bb>", line 1, in <module>
    fetch_openml(name='SPECT')
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\site-packages\sklearn\utils\_param_validation.py", line 213, in wrapper
    return func(*args, **kwargs)
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\site-packages\sklearn\datasets\_openml.py", line 1127, in fetch_openml
    bunch = _download_data_to_bunch(
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\site-packages\sklearn\datasets\_openml.py", line 681, in _download_data_to_bunch
    X, y, frame, categories = _retry_with_clean_cache(
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\site-packages\sklearn\datasets\_openml.py", line 64, in wrapper
    return f(*args, **kw)
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\site-packages\sklearn\datasets\_openml.py", line 516, in _load_arff_response
    gzip_file = _open_openml_url(url, data_home, n_retries=n_retries, delay=delay)
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\site-packages\sklearn\datasets\_openml.py", line 170, in _open_openml_url
    _retry_on_network_error(n_retries, delay, req.full_url)(urlopen)(
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\site-packages\sklearn\datasets\_openml.py", line 100, in wrapper
    return f(*args, **kwargs)
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\urllib\request.py", line 214, in urlopen
    return opener.open(url, data, timeout)
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\urllib\request.py", line 523, in open
    response = meth(req, response)
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\urllib\request.py", line 632, in http_response
    response = self.parent.error(
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\urllib\request.py", line 561, in error
    return self._call_chain(*args)
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\urllib\request.py", line 494, in _call_chain
    result = func(*args)
  File "C:\Apps\Miniconda3\v3_8_5_x64\Local\envs\prodaps-dev-py39\lib\urllib\request.py", line 641, in http_error_default
    raise HTTPError(req.full_url, code, msg, hdrs, fp)
urllib.error.HTTPError: HTTP Error 404: Not Found
```

### Versions

```shell
My Azure DevOps pipeline is using this in its Windows job:
scikit-learn 1.6.1
Python 3.9.13
```

COMMENT:
Thanks a lot @joaquinvanschoren!

Labels: Bug, Needs Triage