Resource warnings when running the test files

[MVrachev]

Description of issue or feature request:
When you run python <test_file> on the development branch we are getting resource warnings.

Current behavior:
For example, if you run python test_download.py from the tests directory you will get:

Expected behavior:
No unclosed files, sockets, or resources as a whole to be left after a test run and thus no resource warnings to be found.

[jku]

This might be same as #1099 (but I'm not sure)

[MVrachev]

Maybe, but this problem exists not only in the test_updater.py, but most likely in almost all of our test files...