Dataset download fails in a fresh install

Create the nilearn_data folder if none existant to keep the default behavior.
Simple test added.
I think that as you mentionned earlier, you should test both the string returned by _get_dataset_dir and that the folder has been created. I believe the folder you should check for existence is in the simplest case (no environment variables set) is 'nilearn_data/test' rather than 'nilearn' and that you should remove this folder after the assert to clean up and make sure that the test is always run in the same environment.

In an ideal world you would set `os.environ['NILEARN_DATA']` and `del os.environ['NILEARN_DATA']` to make sure in the test knows where the dataset folder will be created independently of the environment the test is run in.

The "fresh install + no environment variable set" case you were referring above will actually be tested by Travis since each time we get a fresh new worker I am guessing.