Fetch haxby

Create the nilearn_data folder if none existant to keep the default behavior.
Simple test added.
I don't think this is quite the right approach, the reason being that the dataset download folder can be different from ./nilearn_data (look at the docstring a few lines above for more details).

What I would rather do is change the code [here](https://github.com/Titan-C/nilearn/blob/c87564faf524358b77f8452d13eadecc9d30d265/nilearn/datasets.py#L223) to use EAFP, something like (not tested and improvements welcome):

```python
for path in paths:
    path = os.path.join(path, dataset_name)
    try:
        os.path.makedirs(path)
        print 'Dataset created in', path
        return path
    except IOError as exc:
        if exc.errno != errno.EACCESS:
            raise
```