The most common cause of making a dataset with zero variables is that you accidentally run a data step like this that would make such a dataset.
data data3;
run;
So copy the files as instructed again (in case you have messed them up).
THen show the code you ran and the SAS log from that code.
So for example if the instructions say to put the files in a folder named XXXXX then the code you need to look at the datasets should look something like:
libname mylib 'XXXXX';
proc contents data=mylib.data3;
run;