Dataset download fails in a fresh install

Create the nilearn_data folder if none existant to keep the default behavior.
Simple test added.
Well, that's exactly what I put in another note. I put it again here:

```Python
import os

@with_setup(setup_tmpdata, teardown_tmpdata)
def test_get_dataset_dir():
    os.chdir(tmpdir)
    os.environ.pop['NILEARN_DATA']
    os.environ.pop['NILEARN_SHARED_DATA']
    data_dir = datasets._get_dataset_dir('test')
    #Verify the directory gets created
    assert(os.path.exists(data_dir))
    os.environ['NILEARN_DATA'] = './test_nilearn_data'
    data_dir = datasets._get_dataset_dir('test')
    assert_equal(data_dir, os.path.abs(os.path.join('nilearn_data', 'test')))
    assert(os.path.exists(data_dir))
    os.environ['SHARED_NILEARN_DATA'] = './shared_nilearn_data'
    data_dir.datasets._get_dataset_dir('test')
    assert_equal(data_dir, os.path.abs(os.path.join('shared_nilearn_data', 'test')))
    assert(os.path.exists(data_dir))
```