Generally when this message is received from someone using a SAS supplied tutorial or training it is an indication that one or more step of the preparation for the course were missed or applied incorrectly resulting in expected data sets not being installed in the student's environment.
Sometimes they are installed but the server or account logged into does not have permissions or ability to see the files, which actually a special case of the first paragraph.
The first step is go back through all the module set up instructions very carefully and see if a step was skipped or a file path was misspelled.
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