NotADirectoryError: [WinError 267] During load_from_disk
## Describe the bug
Trying to load saved dataset or dataset directory from Amazon S3 on a Windows machine fails.
Performing the same operation succeeds on non-windows environment (AWS Sagemaker).

## Steps to reproduce the bug
```python
# Followed https://huggingface.co/docs/datasets/filesystems.html#loading-a-processed-dataset-from-s3

from datasets import load_from_disk
from datasets.filesystems import S3FileSystem


s3_file = "output of save_to_disk"

s3_filesystem = S3FileSystem()

load_from_disk(s3_file, fs=s3_filesystem)
```

## Expected results
load_from_disk succeeds without error

## Actual results
Seems like it succeeds in pulling the file into a windows temp directory, as it exists in my system, but fails to process it.
```
Exception ignored in: <finalize object at 0x26409231ce0; dead>
Traceback (most recent call last):
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\weakref.py", line 566, in __call__
    return info.func(*info.args, **(info.kwargs or {}))
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\tempfile.py", line 817, in _cleanup
    cls._rmtree(name)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\tempfile.py", line 813, in _rmtree
    _shutil.rmtree(name, onerror=onerror)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 740, in rmtree
    return _rmtree_unsafe(path, onerror)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 613, in _rmtree_unsafe
    _rmtree_unsafe(fullname, onerror)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 613, in _rmtree_unsafe
    _rmtree_unsafe(fullname, onerror)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 613, in _rmtree_unsafe
    _rmtree_unsafe(fullname, onerror)
  [Previous line repeated 2 more times]
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 618, in _rmtree_unsafe
    onerror(os.unlink, fullname, sys.exc_info())
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\tempfile.py", line 805, in onerror
    cls._rmtree(path)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\tempfile.py", line 813, in _rmtree
    _shutil.rmtree(name, onerror=onerror)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 740, in rmtree
    return _rmtree_unsafe(path, onerror)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 599, in _rmtree_unsafe
    onerror(os.scandir, path, sys.exc_info())
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 596, in _rmtree_unsafe
    with os.scandir(path) as scandir_it:
NotADirectoryError: [WinError 267] The directory name is invalid: 'C:\\Users\\grassycup\\AppData\\Local\\Temp\\tmp45f_qbma\\tests3bucket\\output\\test_output\\train\\dataset.arrow'
Exception ignored in: <finalize object at 0x264091c7880; dead>
Traceback (most recent call last):
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\weakref.py", line 566, in __call__
    return info.func(*info.args, **(info.kwargs or {}))
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\tempfile.py", line 817, in _cleanup
    cls._rmtree(name)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\tempfile.py", line 813, in _rmtree
    _shutil.rmtree(name, onerror=onerror)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 740, in rmtree
    return _rmtree_unsafe(path, onerror)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 613, in _rmtree_unsafe
    _rmtree_unsafe(fullname, onerror)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 613, in _rmtree_unsafe
    _rmtree_unsafe(fullname, onerror)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 613, in _rmtree_unsafe
    _rmtree_unsafe(fullname, onerror)
  [Previous line repeated 2 more times]
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 618, in _rmtree_unsafe
    onerror(os.unlink, fullname, sys.exc_info())
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\tempfile.py", line 805, in onerror
    cls._rmtree(path)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\tempfile.py", line 813, in _rmtree
    _shutil.rmtree(name, onerror=onerror)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 740, in rmtree
    return _rmtree_unsafe(path, onerror)
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 599, in _rmtree_unsafe
    onerror(os.scandir, path, sys.exc_info())
  File "C:\Users\grassycup\Anaconda3\envs\hello.world\lib\shutil.py", line 596, in _rmtree_unsafe
    with os.scandir(path) as scandir_it:
NotADirectoryError: [WinError 267] The directory name is invalid:
'C:\\Users\\grassycup\\AppData\\Local\\Temp\\tmp45f_qbma\\tests3bucket\\output\\test_output\\train\\dataset.arrow'
```

## Environment info
<!-- You can run the command `datasets-cli env` and copy-and-paste its output below. -->
- `datasets` version: 1.11.0
- Platform: Windows-10-10.0.19042-SP0
- Python version: 3.8.11
- PyArrow version: 3.0.0
