Add filename to info displayed when downloading things in from_pretrained
# What does this PR do?

The progress bar used in `http_get` has a description saying "Downloading". When we download multiple files (for instance for a sharded chackpoint) that's not necessarily super informative, so this PR adds the name of the file being downloaded to the description.

cc @stas00 
_The documentation is not available anymore as the PR was closed or merged._<|||||>Thank you so much, Sylvain!