Dataset download fails in a fresh install

Create the nilearn_data folder if none existant to keep the default behavior.
Simple test added.
You should spend some time setting up your environment to get warnings in your editor when you are not following PEP8. For example, [here](http://scipy-lectures.github.io/advanced/debugging/index.html#a-type-as-go-spell-checker-like-integration) are some instructions.