It might be better to put these instructions on the install page and / or have the CIFAR-10 class display them if the data can't be found. People using pylearn2 in a university setting where the data is pre-installed won't have to run this step so it's a bit weird to have it be an explicit step of the tutorial. If you don't want to move the instructions, I won't let that block the PR though. We can move them around later.