Storing MNE sample data in local directory and including error handling ...

1)Instead of storing the data in a place where there are permission issue's, sample data can be stored in local folder as mentioned by @dengemann. This is implemented using ```op.expanduser("~")``` which work in windows and posix system. Data will be stored in ````"~/MNE/examples"```. 
2)Error handling is also included to take into consideration the cases where user doesn't have write permission(not sure when that case will arise!).@dgwakeman