It checks in the  processed folder, which is why it says dataset not found.
You can process yourself it like this:

  
      github.com
  
  
    pytorch/vision/blob/master/torchvision/datasets/mnist.py#L124-L137 217

# process and save as torch files
print('Processing...')


training_set = (
    read_image_file(os.path.join(self.root, self.raw_folder, 'train-images-idx3-ubyte')),
    read_label_file(os.path.join(self.root, self.raw_folder, 'train-labels-idx1-ubyte'))
)
test_set = (
    read_image_file(os.path.join(self.root, self.raw_folder, 't10k-images-idx3-ubyte')),
    read_label_file(os.path.join(self.root, self.raw_folder, 't10k-labels-idx1-ubyte'))
)
with open(os.path.join(self.root, self.processed_folder, self.training_file), 'wb') as f:
    torch.save(training_set, f)
with open(os.path.join(self.root, self.processed_folder, self.test_file), 'wb') as f: