Add gtzan download note (#2763)

Summary:
GTZAN download link is no longer working, so the torchaudio download functionality for GTZAN does not work properly, per https://github.com/pytorch/audio/issues/2743. Add a note in the docs to reflect this discovery.

Pull Request resolved: https://github.com/pytorch/audio/pull/2763

Reviewed By: nateanl, mthrok

Differential Revision: D40315071

Pulled By: carolineechen

fbshipit-source-id: 3250326c45d227546a9c62b33ba890199ad19242

torchaudio/datasets/gtzan.py

@@ -1002,6 +1002,10 @@ class GTZAN(Dataset):
         Please see http://marsyas.info/downloads/datasets.html if you are planning to use
         this dataset to publish results.
 
+    Note:
+        As of October 2022, the download link is not currently working. Setting ``download=True``
+        in GTZAN dataset will result in a URL connection error.
+
     Args:
         root (str or Path): Path to the directory where the dataset is found or downloaded.
         url (str, optional): The URL to download the dataset from.