Bad error message when loading private dataset
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['We raise the error “ FileNotFoundError: can’t find the dataset” mainly to follow best practice in security (otherwise users could be able to guess what private repositories users/orgs may have)\r\n\r\nWe can indeed reformulate this and add the "If this is a private repository,..." part !'
 'Resolved via https://github.com/huggingface/datasets/pull/4536']
## Describe the bug

A pretty common behavior of an interaction between the Hub and datasets is the following.
An organization adds a dataset in private mode and wants to load it afterward.


```python
from transformers import load_dataset

ds = load_dataset("NewT5/dummy_data", "dummy")
```

This command then fails with:

```bash
FileNotFoundError: Couldn't find a dataset script at /home/patrick/NewT5/dummy_data/dummy_data.py or any data file in the same directory. Couldn't find 'NewT5/dummy_data' on the Hugging Face Hub either: FileNotFoundError: Dataset 'NewT5/dummy_data' doesn't exist on the Hub
```

**even though** the user has access to the website `NewT5/dummy_data` since she/he is part of the org. 

We need to improve the error message here similar to how @sgugger, @LysandreJik and @julien-c have done it for transformers IMO.

## Steps to reproduce the bug

E.g. execute the following code to see the different error messages between `transformes` and `datasets`.

1. Transformers
```python
from transformers import BertModel

BertModel.from_pretrained("NewT5/dummy_model")
```

The error message is clearer here - it gives:

```
OSError: patrickvonplaten/gpt2-xl is not a local folder and is not a valid model identifier listed on 'https://huggingface.co/models'
If this is a private repository, make sure to pass a token having permission to this repo with `use_auth_token` or log in with `huggingface-cli login` and pass `use_auth_token=True`.
```

Let's maybe do the same for datasets? The PR was introduced to `transformers` here:
https://github.com/huggingface/transformers/pull/15261

## Expected results

Better error message

## Actual results
Specify the actual results or traceback.

## Environment info
<!-- You can run the command `datasets-cli env` and copy-and-paste its output below. -->
- `datasets` version: 1.18.4.dev0
- Platform: Linux-5.15.15-76051515-generic-x86_64-with-glibc2.34
- Python version: 3.9.7
- PyArrow version: 6.0.1


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