Hi:
Have you followed the setup instructions in THIS section of the course:
When I look at the Base SAS for Windows instructions, I see a zip file:
and a program called setup.sas. You need to follow ALL the instructions to run a program that makes the data for the course.
If you are working in the Virtual Lab, in the SAS Academy for Data Science, the data for this course is already loaded on the Virtual Lab image. However, if you are practicing from the "stand-alone" course, then the instructions are in the Course Overview section.
Cynthia