Fix URL with backslash in Windows
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['@lhoestq I was indeed working on that... to make another commit on this feature branch...'
 'But as you prefer... nevermind! :)'
 "Ah what do you have in mind for the tests ? I was thinking of adding a check in the MockDownloadManager used for tests based on dummy data. I'm creating a PR right now, I'd be happy to have your opinion"
 'Indeed I was thinking of something similar: monckeypatching the HTTP request...'
 'Therefore, if you agree, I am removing all the rest of `os.path.join`, both from the code and the docs...'
 'If you spot other `os.path.join` for urls in dataset scripts or metrics scripts feel free to fix them.\r\nIn the library itself (/src/datasets) it should be fine since there are tests and a windows CI, but if you have doubts of some usage of `os.path.join` somewhere, let me know.'
 'Alright create the test in #905 .\r\nThe windows CI is failing for all the datasets that have bad usage of `os.path.join` for urls.\r\nThere are of course the ones you fixed in this PR (thanks again !) but I found others as well such as pg19 and blimp.\r\nYou can check the full list by looking at the CI failures of the commit 1ce3354'
 "I am merging this one as well as #906 that should fix all of the datasets.\r\nThen I'll rebase #905 which adds the test that checks for bad urls and make sure it' all green now"]
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In Windows, `os.path.join` generates URLs containing backslashes, when the first "path" does not end with a slash. 

In general, `os.path.join` should be avoided to generate URLs.
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