Fixes for errors when doing "make test" on a clean checkout

The "data" directory does not exist in a clean checkout, so create it if it does not exist.

http://www.grouplens.org/sites/www.grouplens.org/external_files/data/ml-10m.zip gives a 404. http://files.grouplens.org/papers/ml-10m.zip is where the file is at.