download_files_in_parallel with cache=False doesn't work on Windows

In #6658 I had problems locally with cache=False. For example:

from astropy.utils.data import download_files_in_parallel
import os
dwn = download_files_in_parallel(['http://www.google.de', 'http://www.wikipedia.org'])
assert all([os.path.isfile(f) for f in dwn]), dwn

This fails locally - while it works if one just adds cache=True:

from astropy.utils.data import download_files_in_parallel
import os
dwn = download_files_in_parallel(['http://www.google.de', 'http://www.wikipedia.org'], cache=True)
assert all([os.path.isfile(f) for f in dwn]), dwn

Could be a Windows-thing with subprocesses that remove temp-files created upon exit. But I don’t have the experience to make more than guesses. Would be interesting to know if that’s a fundamental problem with that function or just a Windows thing.

[pllim]

could you check if the exit handler is called when the sub-processes terminate ?

Yes. On Windows, with cache=False, when I insert a print statement right before os.remove there, I see both downloaded files deleted (even before the progress bar reports that download is finished).

When cache=True, it is still called but nothing is done because _tempfilestodel is an empty list.

Maybe this is beyond our control and we should just document this behavior in the API?

[MSeifert04]

Well it uses multiprocessing to download the files. Probably uses separate processes that clean up the files on Windows and ones that share the temp-files with the main process on *NIX systems.