Disallow backslash in urls
Looks like the test doesn't detect all the problems fixed by #907 , I'll fix that Ok found why it doesn't detect the problems fixed by #907 . That's because for all those datasets the urls are actually fine (no backslash) on windows, even if it uses `os.path.join`.

This is because of the behavior of `os.path.join` on windows when the first path ends with a slash : 

```python
import os
os.path.join("https://test.com/foo", "bar.txt")
# 'https://test.com/foo\\bar.txt'
os.path.join("https://test.com/foo/", "bar.txt")
# 'https://test.com/foo/bar.txt'
```

However even though the urls are correct, this is definitely bad practice and we should never use `os.path.join` for urls
Following #903 @albertvillanova noticed that there are sometimes bad usage of `os.path.join` in datasets scripts to create URLS. However this should be avoided since it doesn't work on windows.

I'm suggesting a test to make sure we that all the urls don't have backslashes in them in the datasets scripts.
The tests works by adding a callback feature to the MockDownloadManager used to test the dataset scripts. In a download callback I just make sure that the url is valid.