better messages for `download_raw` [enhancement]

[jdossgollin]

When running examples/phil_frd_partial/notebooks/partial_data_example.ipynb, I noticed the following output:

Downloaded from: https://nsi.sec.usace.army.mil/nsiapi/structures?fips=42101
Downloaded from: https://hazards.fema.gov/nfhlv2/output/County/420757_20230701.zip
Downloaded from: https://www2.census.gov/geo/tiger/TIGER2022/TRACT/tl_2022_42_tract.zip
Downloaded from: https://www2.census.gov/geo/tiger/TIGER2022/BG/tl_2022_42_bg.zip
Downloaded from: https://www2.census.gov/geo/tiger/TIGER2022/TABBLOCK20/tl_2022_42_tabblock20.zip
Downloaded from: https://static-data-screeningtool.geoplatform.gov/data-versions/1.0/data/score/downloadable/1.0-communities.csv
Downloaded from: https://svi.cdc.gov/Documents/Data/2020/csv/states/SVI_2020_US.csv
Downloaded from: https://www2.census.gov/geo/tiger/TIGER2022/COUNTY/tl_2022_us_county.zip
Downloaded from: https://www2.census.gov/geo/tiger/TIGER2022/ZCTA520/tl_2022_us_zcta520.zip

This is fine, but it would be great if the download_raw printed some context about what each file is and/or where it's being saved