Dataset download fails in a fresh install

Create the nilearn_data folder if none existant to keep the default behavior.
Simple test added.
You shouldn't merge the two `for path in paths` loop. Let me try to summarise the logic as I understand it. We are trying to return the dataset asked by the user:
1. We are checking whether the dataset has already been downloaded in one of the dataset download folders. The possible download folders are listed [here](https://nilearn.github.io/developers/dataset_download.html#dataset-directory) in order of priority.
2. If the dataset hasn't been downloaded yet, we are going to download it in the first download folder we can write to.
3. If we weren't able to create a subdirectory in any of the possible download folders, we want to raise an error with a summary of why it failed in each of the folder we tried.

For more details about the motivations behind all this, see this [issue](https://github.com/nilearn/nilearn/issues/160) and the issues referenced in it.