Display a better error when the downloaded file is empty.

Fixes #61
Download files with Windows-style end of lines on Windows
Fix 4ebab0f0319e39e366a6698289c3b5c7fdeef233
Keep all files in the same folder
Do not use configure_file(NEWLINE_STYLE)

This causes the whole file to be stripped out of all variables.
An alternative would be to use configure_file(@ONLY NEWLINE_STYLE), but
we cannot be sure that there will never be a file with @VARS@ inside,
and this will cause some bug very hard to debug.
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