load_dataset cannot download the data and hangs on forever if cache dir specified
NONE
Issue was environment inconsistency, updating packages did the trick

`conda install -c huggingface -c conda-forge datasets`

> Collecting package metadata (current_repodata.json): done
> Solving environment: |
> The environment is inconsistent, please check the package plan carefully
> The following packages are causing the inconsistency:
> 
>   - conda-forge/noarch::datasets==1.12.1=pyhd8ed1ab_1
>   - conda-forge/win-64::multiprocess==0.70.12.2=py38h294d835_0
> done
> 
> Package Plan
> 
>   environment location: C:\xxx\anaconda3\envs\UnBias-94-1
> 
>   added / updated specs:
>     - datasets
> 
> 
> The following NEW packages will be INSTALLED:
> 
>   dill               conda-forge/noarch::dill-0.3.4-pyhd8ed1ab_0
> 
> The following packages will be UPDATED:
> 
>   ca-certificates    pkgs/main::ca-certificates-2021.9.30-~ --> conda-forge::ca-certificates-2021.10.8-h5b45459_0
>   certifi            pkgs/main::certifi-2021.5.30-py38haa9~ --> conda-forge::certifi-2021.10.8-py38haa244fe_0
> 
> The following packages will be SUPERSEDED by a higher-priority channel:
> 
2021-10-11T10:56:35Z
https://github.com/huggingface/datasets/issues/3052#issuecomment-939917751
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2021-10-11T10:57:09Z
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## Describe the bug
After updating datasets, a code that ran just fine for ages began to fail. Specifying _datasets.load_dataset_'s _cache_dir_ optional argument on Windows 10 machine results in data download to hang on forever. Same call without cache_dir works just fine. Surprisingly exact same code just runs perfectly fine on Linux docker instance running in cloud.

Unfortunately I updated Windows also at the same time and I can't remember which version of datasets was running in my conda environment prior to the update otherwise I would have tried both to check this out.  :(

## Steps to reproduce the bug
```python
# Sample code to reproduce the bug
```
cache_dir = 'c:/data/datasets'
dataset = load_dataset('wikipedia', '20200501.en', split='train',cache_dir=cache_dir) 
```
Note that exact same code without specifying _cache_dir_ argument works perfectly fine.
```
cache_dir = 'c:/data/datasets'
dataset = load_dataset('wikipedia', '20200501.en', split='train') 
```

## Expected results
Downloads the dataset and cache is handled in the _cache_dir_ directory
## Actual results
Data download keeps hanging on forever, **NO TRACEBACK**!

## Environment info
- `datasets` version: 1.12.1
- Platform: Windows-10-10.0.19042-SP0
- Python version: 3.8.11
- PyArrow version: 3.0.0
