Fix install with submodules

[pommedeterresautee]

Manage installation from a repo where there are submodules (+ update broken example from README)
Generalize proposed fix from #233 for R package stored in a sub sub ... folder.

Fix #233 and #407
Related to dmlc/xgboost#4710

[pommedeterresautee]

@jimhester do I need to add unit tests on the fix? If yes, have you an idea how I can install a package during unit tests execution? I have no idea on how to do it.

[jimhester]

Thanks!