[BUG] Poor error message when loading a non existent file

[TonyBagnall]

Describe the bug

if I problem does not exist on tsc.com or locally, the error message could be more informative

Steps/Code to reproduce the bug

from aeon.datasets import load_classification
X,y=load_classification("foo",extract_path="C:\\Temp\\")



### Expected results

Single informative error should be thrown

### Actual results

```python-traceback

Traceback (most recent call last):
  File "C:\code\tsml-eval\venv\lib\site-packages\aeon\datasets\_data_loaders.py", line 441, in _download_and_extract
    zipfile.ZipFile(zip_file_name, "r").extractall(extract_path)
  File "C:\Users\ajb\AppData\Local\Programs\Python\Python39\lib\zipfile.py", line 1257, in __init__
    self._RealGetContents()
  File "C:\Users\ajb\AppData\Local\Programs\Python\Python39\lib\zipfile.py", line 1324, in _RealGetContents
    raise BadZipFile("File is not a zip file")
zipfile.BadZipFile: File is not a zip file

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "C:\code\tsml-eval\venv\lib\site-packages\aeon\datasets\_data_loaders.py", line 514, in _load_tsc_dataset
    _download_and_extract(
  File "C:\code\tsml-eval\venv\lib\site-packages\aeon\datasets\_data_loaders.py", line 448, in _download_and_extract
    raise zipfile.BadZipFile(
zipfile.BadZipFile: Could not unzip dataset. Please make sure the URL is valid.

The above exception was the direct cause of the following exception:

Traceback (most recent call last):
  File "C:\code\tsml-eval\tsml_eval\local\classification_process.py", line 42, in <module>
    data_characteristics()
  File "C:\code\tsml-eval\tsml_eval\local\classification_process.py", line 31, in data_characteristics
    trainX, trainY = load_classification(p, split="TRAIN", extract_path="C:\\Data\\")
  File "C:\code\tsml-eval\venv\lib\site-packages\aeon\datasets\_data_loaders.py", line 1157, in load_classification
    return _load_tsc_dataset(
  File "C:\code\tsml-eval\venv\lib\site-packages\aeon\datasets\_data_loaders.py", line 519, in _load_tsc_dataset
    raise ValueError(
ValueError: Invalid dataset name =AconityMINIPrinterLargeEq is not available on extract path =C:\Data\. Nor is it available on https://timeseriesclassification.com/aeon-toolkit/AconityMINIPrinterLargeEq.zip

Process finished with exit code 1

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