[Manual data] improve error message for manual data in general
`nlp.load("xsum")` now leads to the following error message:

![Screenshot from 2020-05-20 20-05-28](https://user-images.githubusercontent.com/23423619/82481825-3587ea00-9ad6-11ea-9ca2-5794252c6ac7.png)

I guess the manual download instructions for `xsum` can also be improved.