Dataset download fails in a fresh install

Create the nilearn_data folder if none existant to keep the default behavior.
Simple test added.
as @AlexandreAbraham wrote before
> I think that it would be better to do something like: "%s (%s)" % (path, e.strerror)
> It would be more significant for non technician people that may be scared by the standard error message. Also, you don't know if the path will be included in the message. In particular, on Windows, the error messages are totally non informative sometimes.

I guess beyond formatting is the windows error messages.