Run 'GPT-J' failure due to download dataset fail (' ConnectionError: Couldn't reach http://eaidata.bmk.sh/data/enron_emails.jsonl.zst ' ) 
### Describe the bug

Run model "GPT-J" with dataset "the_pile" fail.
The fail out is as below:
![image](https://user-images.githubusercontent.com/52023469/207750127-118d9896-35f4-4ee9-90d4-d0ab9aae9c74.png)

Looks like which is due to "http://eaidata.bmk.sh/data/enron_emails.jsonl.zst" unreachable .

### Steps to reproduce the bug

Steps to reproduce this issue:

git clone https://github.com/huggingface/transformers
cd transformers
python examples/pytorch/language-modeling/run_clm.py --model_name_or_path EleutherAI/gpt-j-6B --dataset_name the_pile --dataset_config_name enron_emails --do_eval --output_dir /tmp/output --overwrite_output_dir

### Expected behavior

This issue looks like due to "http://eaidata.bmk.sh/data/enron_emails.jsonl.zst " couldn't be reached.
Is there another way to download the dataset "the_pile" ?
Is there another way to cache the dataset "the_pile" but not let the hg to download it when runtime ?

### Environment info

huggingface_hub version: 0.11.1
Platform: Linux-5.15.0-52-generic-x86_64-with-glibc2.35
Python version: 3.9.12
Running in iPython ?: No
Running in notebook ?: No
Running in Google Colab ?: No
Token path ?: /home/taosy/.huggingface/token
Has saved token ?: False
Configured git credential helpers:
FastAI: N/A
Tensorflow: N/A
Torch: N/A
Jinja2: N/A
Graphviz: N/A
Pydot: N/A
Thanks for reporting, @shaoyuta.

We have checked and yes, apparently there is an issue with the server hosting the data of the "enron_emails" subset of "the_pile" dataset: http://eaidata.bmk.sh/data/enron_emails.jsonl.zst
It seems to be down: The connection has timed out.

Please note that at the Hugging Face Hub, we are not hosting their data for this dataset, but only a script that downloads the data from their servers. We are updating the data URL to one in another server.

In the meantime, please note that you can train your model in the entire "the_pile" dataset, by passing the "all" config (instead of the "enron_emails" one). We have transferred this issue to the corresponding dataset Community tab: https://huggingface.co/datasets/the_pile/discussions/2

Please, follow the updates there.