Create simple test for examples/client_example

[kairoaraujo]

Description of issue or feature request:
Adding a tests folder in examples/client_example and writing a simple test would be a great demonstration of best practices to who will be using the code to start a client implementation. Also, it avoids us making changes and breaking the example.

Current behavior:
No tests to the client example

Expected behavior:
Unit tests to the client example

[kairoaraujo]

IMO it could be tagged as "good first issue"

[jku]

Adding a tests folder in examples/client_example

Let's keep all tests in the top-level tests/ dir: Lukas already added a tests/test_examples.py: this test can be added there

I think a simple "does the tool run successfully?, Did it download the file we wanted?" test is enough. The only tricky part here is that the test needs a server to be running: doing that reliably and quickly in CI is a problem -- maybe we can use the infrastructure we already have for simple_server.py. @MVrachev will be able to advice here.