Resolves #2521. First and simple attempt to make a gzip downloader
There is no need in DIRECTORY_SEPARATOR since it Unix
Final fix. Preserve initial file name
Since there is no solution for non-unix (for now), remove the condition
Fallback to gzip functions when on Windows
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Merge pull request #2765 from neoascetic/gzip_downloader

Gzip downloader (resolves #2521)