Give a more informative error message if cache directory can not be created

[PGijsbers]

If your configuration specifies a cache directory which can not be created, the following error is raised:

(jupyter3) me-2:datanb me$ python
Python 3.6.5 (default, Apr 25 2018, 14:23:58)
[GCC 4.2.1 Compatible Apple LLVM 9.1.0 (clang-902.0.39.1)] on darwin
Type "help", "copyright", "credits" or "license" for more information.
>>> import openml
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "/Users/me/venv/jupyter3/lib/python3.6/site-packages/openml/__init__.py", line 20, in <module>
    from . import _api_calls
  File "/Users/me/venv/jupyter3/lib/python3.6/site-packages/openml/_api_calls.py", line 10, in <module>
    from . import config
  File "/Users/me/venv/jupyter3/lib/python3.6/site-packages/openml/config.py", line 295, in <module>
    _setup()
  File "/Users/me/venv/jupyter3/lib/python3.6/site-packages/openml/config.py", line 203, in _setup
    os.mkdir(cache_directory)
FileNotFoundError: [Errno 2] No such file or directory: '/var/folders/gj/cm0k4b_s42j30zs376cq_5hh0000gn/T//RtmpFJlUoh/cache'

It would be better to have a more informative error message that indicates the cache directory can not be created and where to find the config file to change the cache directory.