Add support to download from filesystem

[gyger]

Description of the desired feature:
Our data to be evaluated is stored on a shared network drive and so just locally mapped in the filesystem (Network drive on Windows or mounted folder in , but it would be great to have such a collection of files be able to load through pooch. E.g. by specifying the source location with file://D:/path/to/files/.

This could then be used to have a local cache of the data, while the data comes from a local available network storage.

I could provide the FileDownloader class, but I can not provide support in the longterm.