Dataset download fails in a fresh install

Create the nilearn_data folder if none existant to keep the default behavior.
Simple test added.
> It's true that we may encounter different error than EnvironmentalError

@AlexandreAbraham out of curiosity do you have an example where os.makedirs raise an exception which is not an EnvironmentError?

> my previous attempt was using str(exc), but I was corrected into using strerror to enforce the formatting of the error message

@Titan-C Do you have an example where `str(exc)` is not good enough? In the couple of cases I could think of, it looks ok to me:
  - `"[Errno 13] Permission denied: '/asdfa'"`
  - `"[Errno 17] File exists: '/tmp/file'"`