Issue: suggestion to improve a missing dataset error

I was using  `--dataset_name wmt19` all was good. Then thought perhaps wmt20 is out, so I tried to use `--dataset_name wmt20`, got 3 different errors (1 repeated twice), none telling me the real issue - that `wmt20` isn't in the `datasets`:

```
True, predict_with_generate=True)
Traceback (most recent call last):
  File "/mnt/nvme1/code/huggingface/datasets-master/src/datasets/load.py", line 323, in prepare_module
    local_path = cached_path(file_path, download_config=download_config)
  File "/mnt/nvme1/code/huggingface/datasets-master/src/datasets/utils/file_utils.py", line 274, in cached_path
    output_path = get_from_cache(
  File "/mnt/nvme1/code/huggingface/datasets-master/src/datasets/utils/file_utils.py", line 584, in get_from_cache
    raise FileNotFoundError("Couldn't find file at {}".format(url))
FileNotFoundError: Couldn't find file at https://raw.githubusercontent.com/huggingface/datasets/master/datasets/wmt20/wmt20.py

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "/mnt/nvme1/code/huggingface/datasets-master/src/datasets/load.py", line 335, in prepare_module
    local_path = cached_path(file_path, download_config=download_config)
  File "/mnt/nvme1/code/huggingface/datasets-master/src/datasets/utils/file_utils.py", line 274, in cached_path
    output_path = get_from_cache(
  File "/mnt/nvme1/code/huggingface/datasets-master/src/datasets/utils/file_utils.py", line 584, in get_from_cache
    raise FileNotFoundError("Couldn't find file at {}".format(url))
FileNotFoundError: Couldn't find file at https://raw.githubusercontent.com/huggingface/datasets/master/datasets/wmt20/wmt20.py

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "./run_seq2seq.py", line 661, in <module>
    main()
  File "./run_seq2seq.py", line 317, in main
    datasets = load_dataset(data_args.dataset_name, data_args.dataset_config_name)
  File "/mnt/nvme1/code/huggingface/datasets-master/src/datasets/load.py", line 706, in load_dataset
    module_path, hash, resolved_file_path = prepare_module(
  File "/mnt/nvme1/code/huggingface/datasets-master/src/datasets/load.py", line 343, in prepare_module
    raise FileNotFoundError(
FileNotFoundError: Couldn't find file locally at wmt20/wmt20.py, or remotely at https://raw.githubusercontent.com/huggingface/datasets/master/datasets/wmt20/wmt20.py.
The file is also not present on the master branch on github.
```

Suggestion: if it is not in a local path, check that there is an actual `https://github.com/huggingface/datasets/tree/master/datasets/wmt20` first and assert "dataset `wmt20` doesn't exist in datasets", rather than trying to find a load script - since the whole repo is not there.

The error occured when running:
```
cd examples/seq2seq
export BS=16; rm -r output_dir; PYTHONPATH=../../src USE_TF=0 CUDA_VISIBLE_DEVICES=0 python ./run_seq2seq.py --model_name_or_path t5-small --output_dir output_dir --adam_eps 1e-06 --do_eval --evaluation_strategy=steps  --label_smoothing 0.1 --learning_rate 3e-5 --logging_first_step --logging_steps 1000 --max_source_length 128 --max_target_length 128 --num_train_epochs 1 --overwrite_output_dir --per_device_eval_batch_size $BS --predict_with_generate --eval_steps 25000  --sortish_sampler --task translation_en_to_ro  --val_max_target_length 128 --warmup_steps 500  --max_val_samples 500 --dataset_name wmt20 --dataset_config "ro-en" --source_prefix "translate English to Romanian: "
```

Thanks.

Comments:
This is the current error thrown for missing datasets:
```
FileNotFoundError: Couldn't find a dataset script at C:\Users\Mario\Desktop\projects\datasets\missing_dataset\missing_dataset.py or any data file in the same directory. Couldn't find 'missing_dataset' on the Hugging Face Hub either: FileNotFoundError: Dataset 'missing_dataset' doesn't exist on the Hub. If the repo is private, make sure you are authenticated with `use_auth_token=True` after logging in with `huggingface-cli login`.
```

Seems much more informative, so I think we can close this issue.