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
```

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.




feat(dl_manager): add support for ftp downloads 
 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.



 
 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
```
