Disallow backslash in 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.