Dataset download fails in a fresh install

Create the nilearn_data folder if none existant to keep the default behavior.
Simple test added.
OK, putting the path explicitly in the error message sounds fine. If we stick to catching `Exception` rather than `EnvironmentError` we will need something like:

```python
short_error_message = exc.get('strerror', str(exc))
```
to make sure this works with all kind of exceptions.