[C++] Improve dependencies download script

[asfimport]

Reporter: Francois Saint-Jacques / @fsaintjacques
Assignee: Francois Saint-Jacques / @fsaintjacques

PRs and other links:

• GitHub Pull Request #3021

_{Note: This issue was originally created as ARROW-3862. Please see the migration documentation for further details.}

[asfimport]

Wes McKinney / @wesm:
Issue resolved by pull request 3021
#3021