[SSL: CERTIFICATE_VERIFY_FAILED] certificate verify failed: unable to get local issuer certificate (_ssl.c:1122)

🐛 Describe the bug

When downloading weights data from the PyTorch hub we get the following:

[stdlog] 2022-01-27 14:41:18,434 client           L0864 INFO | Traceback (most recent call last):
[stdlog] 2022-01-27 14:41:18,435 client           L0864 INFO |   File "C:\Program Files\Python39\lib\site-packages\torchvision\models\detection\faster_rcnn.py", line 369, in fasterrcnn_resnet50_fpn
[stdlog] 2022-01-27 14:41:18,435 client           L0864 INFO |     state_dict = load_state_dict_from_url(model_urls['fasterrcnn_resnet50_fpn_coco'],
[stdlog] 2022-01-27 14:41:18,435 client           L0864 INFO |   File "C:\Program Files\Python39\lib\site-packages\torch\hub.py", line 524, in load_state_dict_from_url
[stdlog] 2022-01-27 14:41:18,435 client           L0864 INFO |     download_url_to_file(url, cached_file, hash_prefix, progress=progress)
[stdlog] 2022-01-27 14:41:18,435 client           L0864 INFO |   File "C:\Program Files\Python39\lib\site-packages\torch\hub.py", line 394, in download_url_to_file
[stdlog] 2022-01-27 14:41:18,435 client           L0864 INFO |     u = urlopen(req)
[stdlog] 2022-01-27 14:41:18,435 client           L0864 INFO |   File "C:\Program Files\Python39\lib\urllib\request.py", line 214, in urlopen
[stdlog] 2022-01-27 14:41:18,435 client           L0864 INFO |     return opener.open(url, data, timeout)
[stdlog] 2022-01-27 14:41:18,435 client           L0864 INFO |   File "C:\Program Files\Python39\lib\urllib\request.py", line 517, in open
[stdlog] 2022-01-27 14:41:18,435 client           L0864 INFO |     response = self._open(req, data)
[stdlog] 2022-01-27 14:41:18,435 client           L0864 INFO |   File "C:\Program Files\Python39\lib\urllib\request.py", line 534, in _open
[stdlog] 2022-01-27 14:41:18,436 client           L0864 INFO |     result = self._call_chain(self.handle_open, protocol, protocol +
[stdlog] 2022-01-27 14:41:18,436 client           L0864 INFO |   File "C:\Program Files\Python39\lib\urllib\request.py", line 494, in _call_chain
[stdlog] 2022-01-27 14:41:18,436 client           L0864 INFO |     result = func(*args)
[stdlog] 2022-01-27 14:41:18,436 client           L0864 INFO |   File "C:\Program Files\Python39\lib\urllib\request.py", line 1385, in https_open
[stdlog] 2022-01-27 14:41:18,436 client           L0864 INFO |     return self.do_open(http.client.HTTPSConnection, req,
[stdlog] 2022-01-27 14:41:18,436 client           L0864 INFO |   File "C:\Program Files\Python39\lib\urllib\request.py", line 1345, in do_open
[stdlog] 2022-01-27 14:41:18,436 client           L0864 INFO |     raise URLError(err)
[stdlog] 2022-01-27 14:41:18,436 client           L0864 INFO | urllib.error.URLError: <urlopen error [SSL: CERTIFICATE_VERIFY_FAILED] certificate verify failed: unable to get local issuer certificate (_ssl.c:1122)>

whereby checks of the certificate validity passed and this issue only happens on Windows (tested the same code on Linux without any problem). Downloading the same data file from a browser works fine (don't mind the loaded page, I loaded download.pytorch.org at first):

Versions

C:>python.exe collect_env.py
Microsoft Visual C++ Redistributable is not installed, this may lead to the DLL load failure.
It can be downloaded at https://aka.ms/vs/16/release/vc_redist.x64.exe
Collecting environment information...
PyTorch version: N/A
Is debug build: N/A
CUDA used to build PyTorch: N/A
ROCM used to build PyTorch: N/A

OS: Microsoft Windows 10 Enterprise 2016 LTSB
GCC version: Could not collect
Clang version: Could not collect
CMake version: Could not collect
Libc version: N/A

Python version: 3.9.0 (tags/v3.9.0:9cf6752, Oct 5 2020, 15:34:40) [MSC v.1927 64 bit (AMD64)] (64-bit runtime)
Python platform: Windows-10-10.0.14393-SP0
Is CUDA available: N/A
CUDA runtime version: Could not collect
GPU models and configuration: Could not collect
Nvidia driver version: Could not collect
cuDNN version: Could not collect
HIP runtime version: N/A
MIOpen runtime version: N/A

Versions of relevant libraries:
[pip3] Could not collect
[conda] Could not collect

cc @peterjc123 @nbcsm @guyang3532 @maxluk @gunandrose4u @mszhanyi

Reproduce the Windows failure through torchvision.models.detection.fasterrcnn_resnet50_fpn and trace the download path through torch.hub.load_state_dict_from_url and download_url_to_file. Compare this with the successful browser download and verify that the completed behavior preserves certificate validation while allowing the model weights to download on the reported Windows environment.