Fix URL with backslash in Windows
@lhoestq I was indeed working on that... to make another commit on this feature branch... But as you prefer... nevermind! :) Ah what do you have in mind for the tests ? I was thinking of adding a check in the MockDownloadManager used for tests based on dummy data. I'm creating a PR right now, I'd be happy to have your opinion Indeed I was thinking of something similar: monckeypatching the HTTP request... Therefore, if you agree, I am removing all the rest of `os.path.join`, both from the code and the docs... If you spot other `os.path.join` for urls in dataset scripts or metrics scripts feel free to fix them.
In the library itself (/src/datasets) it should be fine since there are tests and a windows CI, but if you have doubts of some usage of `os.path.join` somewhere, let me know. Alright create the test in #905 .
The windows CI is failing for all the datasets that have bad usage of `os.path.join` for urls.
There are of course the ones you fixed in this PR (thanks again !) but I found others as well such as pg19 and blimp.
You can check the full list by looking at the CI failures of the commit 1ce3354 I am merging this one as well as #906 that should fix all of the datasets.
Then I'll rebase #905 which adds the test that checks for bad urls and make sure it' all green now
In Windows, `os.path.join` generates URLs containing backslashes, when the first "path" does not end with a slash. 

In general, `os.path.join` should be avoided to generate URLs.