_data_path() modification to resolve #1185 and #1186 

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!).