feat(dl_manager): add support for ftp downloads
We only support http by default for downloading.
If you really need to use ftp, then feel free to use a library that allows to download through ftp in your dataset script (I see that you've started working on #722 , that's awesome !). The users will get a message to install the extra library when they load the dataset.

To make the download_manager work with a custom downloader, you can call `download_manager.download_custom` instead of `download_manager.download_and_extract`. The expected arguments are the following:
```
url_or_urls: url or `list`/`dict` of urls to download and extract. Each
        url is a `str`.
custom_download: Callable with signature (src_url: str, dst_path: str) -> Any
        as for example `tf.io.gfile.copy`, that lets you download from google storage
```
 Also maybe it coud be interesting to have a direct support of ftp inside the `datasets` library. Do you know any good libraries that we might consider adding as a (optional ?) dependency ? Downloading an `ftp` file is as simple as:
```python
import urllib 
urllib.urlretrieve('ftp://server/path/to/file', 'file')
```

I believe this should be supported by the library, as its not using any dependency and is trivial amount of code. I know its unorthodox, but I added `ftp` download support to `file_utils` in the same PR https://github.com/huggingface/datasets/pull/722
So its possible to understand the interaction of the download component with the ftp download ability Awesome ! I'll take a look :) @AmitMY Can you now download the Phoenix2014 Dataset? @hoanganhpham1006 yes.
See pull request https://github.com/huggingface/datasets/pull/722 , it has a loader for this dataset, mostly ready.
There's one issue that delays it being merged - https://github.com/huggingface/datasets/issues/741 - regarding memory consumption. The problem which I have now is that this dataset seems does not allow to download? Can you share it with me pls The dataset loader is not yet ready, because of that issue.
If you want to just download the dataset the old-fashioned way, just go to: https://www-i6.informatik.rwth-aachen.de/ftp/pub/rwth-phoenix/2016/phoenix-2014-T.v3.tar.gz (the ftp link is now broken, and its available over https) Got it, thank you so much!
I am working on a new dataset (#302) and encounter a problem downloading it.

```python
# This is the official download link from https://www-i6.informatik.rwth-aachen.de/~koller/RWTH-PHOENIX-2014-T/
_URL = "ftp://wasserstoff.informatik.rwth-aachen.de/pub/rwth-phoenix/2016/phoenix-2014-T.v3.tar.gz"

dl_manager.download_and_extract(_URL)
```

I get an error:

> ValueError: unable to parse ftp://wasserstoff.informatik.rwth-aachen.de/pub/rwth-phoenix/2016/phoenix-2014-T.v3.tar.gz as a URL or as a local path

I checked, and indeed you don't consider `ftp` as a remote file.
https://github.com/huggingface/datasets/blob/4c2af707a6955cf4b45f83ac67990395327c5725/src/datasets/utils/file_utils.py#L188

Adding `ftp` to that list does not immediately solve the issue, so there probably needs to be some extra work.



