SG-35529 Minor code refactoring: Clarify the use of _build_opener in download_attachment

[julien-lang]

Clarify the use of _build_opener in download_attachment

Before this change, download_attachment indirectly used _build_opener by calling
set_up_auth_cookie. This was misleading because the name of the function, set_up_auth_cookie, does not indicate that it will return a request handler object.

Since set_up_auth_cookie is only used by download_attachment, I suggest this small refactoring making download_attachment directly call _build_opener with an optional cookie handler if necessary.

This PR renames/transforms the set_up_auth_cookie function to get_auth_cookie_handler.

[carlos-villavicencio-adsk]

LGTM

[herronelou]

For what it's worth a year after the battle:
We were using set_up_auth_cookie (it's wasn't marked as a private function) in our code, and pulling the latest version caused a few issues with it now renamed.