Revert "Merge pull request #113 from jonasdt/cookies_file"

This reverts commit c3a842ec3d7bb62cfdd4b5e56915a9a3233d7b85, reversing
changes made to e68d405cf4331a6f2fd1bd130aa8c97cab75efa5.

This reopens #113, as it broke the authentication for too many courses for
me, when passing many courses in one invocation of `coursera-dl`.
Rewrite list comprehension in longer format.

This allows us to tell the users to use the `--debug` switch to see what the
script is doing, like in issue #111.
Added troubleshooting info for `Could not find class: <CLASS_NAME>`.