Problems with downloading The Pile
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Hi! 


You can specify `download_config=DownloadConfig(resume_download=True))` in `load_dataset` to resume the download when re-running the code after the timeout error:
```python
from datasets import load_dataset, DownloadConfig
dataset = load_dataset('the_pile', split='train', cache_dir='F:\datasets', download_config=DownloadConfig(resume_download=True))
```


### Describe the bug

The downloads in the screenshot seem to be interrupted after some time and the last download throws a "Read timed out" error.

![image](https://user-images.githubusercontent.com/11065386/222687870-ec5fcb65-84e8-467d-9593-4ad7bdac4d50.png)

Here are the downloaded files:
![image](https://user-images.githubusercontent.com/11065386/222688200-454c2288-49e5-4682-96e6-1eb69aca0852.png)

They should be all 14GB like here (https://the-eye.eu/public/AI/pile/train/).

Alternatively, can I somehow download the files by myself and use the datasets preparing script?

### Steps to reproduce the bug

dataset = load_dataset('the_pile', split='train', cache_dir='F:\datasets')

### Expected behavior

The files should be downloaded correctly.

### Environment info

- `datasets` version: 2.10.1
- Platform: Windows-10-10.0.22623-SP0
- Python version: 3.10.5
- PyArrow version: 9.0.0
- Pandas version: 1.4.2
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