Support Zstandard compressed files
I am trying to load a dataset using Hugging Face Datasets load_dataset method. I am getting the value error as show below. Can someone help with this? I am using Windows laptop and Google Colab notebook.

```
!pip install zstandard
from datasets import load_dataset

lds = load_dataset(
    "json",
    data_files="https://the-eye.eu/public/AI/pile_preliminary_components/FreeLaw_Opinions.jsonl.zst",
    split="train",
    streaming=True,
)

WARNING:datasets.builder:Using custom data configuration default-a1d9e8eaedd958cd
---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
[<ipython-input-12-5b4fdcb8e6d5>](https://localhost:8080/#) in <module>
      6 )
      7 
----> 8 next(iter(law_dataset_streamed))

17 frames
[/usr/local/lib/python3.8/dist-packages/fsspec/core.py](https://localhost:8080/#) in get_compression(urlpath, compression)
    485         compression = infer_compression(urlpath)
    486     if compression is not None and compression not in compr:
--> 487         raise ValueError("Compression type %s not supported" % compression)
    488     return compression
    489 

ValueError: Compression type zstd not supported
``` I just tried on google colab and this works:
```python
!pip install zstandard
!pip install datasets
from datasets import load_dataset

lds = load_dataset(
    "json",
    data_files="https://the-eye.eu/public/AI/pile_preliminary_components/FreeLaw_Opinions.jsonl.zst",
    split="train",
    streaming=True,
)
next(iter(lds))
```

Can you check that you have a correct installation of `zstandard` ? @lhoestq please note [this](https://github.com/huggingface/datasets/issues/2572#issuecomment-1363718916) is a duplicate of:
- #5388 Oh thanks I missed that one ! > I just tried on google colab and this works:
> 
> ```python
> !pip install zstandard
> !pip install datasets
> from datasets import load_dataset
> 
> lds = load_dataset(
>     "json",
>     data_files="https://the-eye.eu/public/AI/pile_preliminary_components/FreeLaw_Opinions.jsonl.zst",
>     split="train",
>     streaming=True,
> )
> next(iter(lds))
> ```
> 
> Can you check that you have a correct installation of `zstandard` ?

I was downloading datasets first then was doing zstandard installation and that was causing the issue. This was highlighted by the Hugging Face staff and that helped. Now the issue is resolved. Thank you.
Add support for Zstandard compressed files: https://facebook.github.io/zstd/