Getting HTTPError: HTTP Error 403: Forbidden when trying to load California Housing dataset

### Describe the bug

When trying to load the dataset I get an error.

### Steps/Code to Reproduce

```
from sklearn.datasets import fetch_california_housing
from sklearn.model_selection import train_test_split 
from sklearn.preprocessing import StandardScaler

housing = fetch_california_housing()

X_train_full, X_test, y_train_full, y_test = train_test_split(
housing.data, housing.target)
X_train, X_valid, y_train, y_valid = train_test_split(X_train_full, y_train_full)

scaler = StandardScaler()
X_train_scaled = scaler.fit_transform(X_train)
X_valid_scaled = scaler.transform(X_valid)
X_test_scaled = scaler.transform(X_test)
```

### Expected Results

Dataset loads

### Actual Results

```
HTTPError                                 Traceback (most recent call last)
[/var/folders/wx/mz49j6yd5514yjn5k60sk6900000gn/T/ipykernel_16344/1379907178.py](https://file+.vscode-resource.vscode-cdn.net/var/folders/wx/mz49j6yd5514yjn5k60sk6900000gn/T/ipykernel_16344/1379907178.py) in <module>
      3 from sklearn.preprocessing import StandardScaler
      4 
----> 5 housing = fetch_california_housing()
      6 
      7 X_train_full, X_test, y_train_full, y_test = train_test_split(

[~/opt/anaconda3/lib/python3.9/site-packages/sklearn/datasets/_california_housing.py](https://file+.vscode-resource.vscode-cdn.net/Users/aryamanbhatia/neural%20network%20for%20practice/~/opt/anaconda3/lib/python3.9/site-packages/sklearn/datasets/_california_housing.py) in fetch_california_housing(data_home, download_if_missing, return_X_y, as_frame)
    133     This dataset consists of 20,640 samples and 9 features.
    134     """
--> 135     data_home = get_data_home(data_home=data_home)
    136     if not exists(data_home):
    137         makedirs(data_home)

[~/opt/anaconda3/lib/python3.9/site-packages/sklearn/datasets/_base.py](https://file+.vscode-resource.vscode-cdn.net/Users/aryamanbhatia/neural%20network%20for%20practice/~/opt/anaconda3/lib/python3.9/site-packages/sklearn/datasets/_base.py) in _fetch_remote(remote, dirname)

[~/opt/anaconda3/lib/python3.9/urllib/request.py](https://file+.vscode-resource.vscode-cdn.net/Users/aryamanbhatia/neural%20network%20for%20practice/~/opt/anaconda3/lib/python3.9/urllib/request.py) in urlretrieve(url, filename, reporthook, data)
    237     url_type, path = _splittype(url)
    238 
--> 239     with contextlib.closing(urlopen(url, data)) as fp:
    240         headers = fp.info()
    241 
...
--> 641         raise HTTPError(req.full_url, code, msg, hdrs, fp)
    642 
    643 class HTTPRedirectHandler(BaseHandler):

HTTPError: HTTP Error 403: Forbidden
```

### Versions

```shell
System:
    python: 3.9.13 (main, Aug 25 2022, 18:29:29)  [Clang 12.0.0 ]
executable: /Users/aryamanbhatia/opt/anaconda3/bin/python
   machine: macOS-10.16-x86_64-i386-64bit

Python dependencies:
          pip: 22.2.2
   setuptools: 63.4.1
      sklearn: 1.0.2
        numpy: 1.26.3
        scipy: 1.9.1
       Cython: 0.29.32
       pandas: 1.4.4
   matplotlib: 3.5.2
       joblib: 1.1.0
threadpoolctl: 2.2.0

Built with OpenMP: True
```

COMMENT:
I was able to reproduce the HTTP 403 inside Colab. Note this is not only `fetch_california_housing` but all scikit-learn datasets on Figshare, so `fetch_covtype`, `fetch_rcv1`, etc ... 
```
❯ git grep 'figshare'
sklearn/datasets/_california_housing.py:    url="https://ndownloader.figshare.com/files/5976036",
sklearn/datasets/_covtype.py:    url="https://ndownloader.figshare.com/files/5976039",
sklearn/datasets/_kddcup99.py:    url="https://ndownloader.figshare.com/files/5976045",
sklearn/datasets/_kddcup99.py:    url="https://ndownloader.figshare.com/files/5976042",
sklearn/datasets/_lfw.py:    url="https://ndownloader.figshare.com/files/5976018",
sklearn/datasets/_lfw.py:    url="https://ndownloader.figshare.com/files/5976015",
sklearn/datasets/_lfw.py:        url="https://ndownloader.figshare.com/files/5976012",
sklearn/datasets/_lfw.py:        url="https://ndownloader.figshare.com/files/5976009",
sklearn/datasets/_lfw.py:        url="https://ndownloader.figshare.com/files/5976006",
sklearn/datasets/_olivetti_faces.py:    url="https://ndownloader.figshare.com/files/5976027",
sklearn/datasets/_rcv1.py:        url="https://ndownloader.figshare.com/files/5976069",
sklearn/datasets/_rcv1.py:        url="https://ndownloader.figshare.com/files/5976066",
sklearn/datasets/_rcv1.py:        url="https://ndownloader.figshare.com/files/5976063",
sklearn/datasets/_rcv1.py:        url="https://ndownloader.figshare.com/files/5976060",
sklearn/datasets/_rcv1.py:        url="https://ndownloader.figshare.com/files/5976057",
sklearn/datasets/_rcv1.py:    url="https://ndownloader.figshare.com/files/5976048",
sklearn/datasets/_species_distributions.py:    url="https://ndownloader.figshare.com/files/5976075",
sklearn/datasets/_species_distributions.py:    url="https://ndownloader.figshare.com/files/5976078",
sklearn/datasets/_twenty_newsgroups.py:    url="https://ndownloader.figshare.com/files/5975967"
```

I am wondering if Figshare is not blocking some IP address, the HTTP 403 Forbidden is a bit unexpected ...

Retrying a few times, it seems to be quite consistent, i.e. if you keep retrying the problem does not go away.

Labels: Bug