title: Load fetch_lfw_people using Proxy
body: <p>I want to use this toy dataset for education.
  But when I try to load it using builtin sklearn loader I got the error.</p>
  
  <pre><code>from sklearn import datasets 
  lfw_people = datasets.fetch_lfw_people(min_faces_per_person=50, 
                  resize=0.4, data_home='.', )
  </code></pre>
  
  <p>Error: </p>
  
  <blockquote>
    <p>urlopen error [WinError 10061]</p>
  </blockquote>
  
  <p>I know it is about the proxy - usually to install new packages I use --proxy option.
  But how to do it now? There is no such option in <code>datasets.fetch_lfw_people</code></p>
  
  <hr>
  
  <p>I thought about manual downloading it from the official website: <a href="http://vis-www.cs.umass.edu/lfw/#download" rel="nofollow noreferrer">http://vis-www.cs.umass.edu/lfw/#download</a>
  But I don't know which one to choose and how to open after that in python.</p>