Additional SQL Server features and topics not covered by specific categories
The lab assumes you have a local SQL Server instance running on localhost, that's why it is showing the error. Please verify that the instance name is correct and that SQL Server is configured to allow remote connections.
You can also follow the checks mentioned above as this will help you to troubleshoot the issue. If still you are unable to load the data, you may use excel and carry on with your learnings.
Let us know if you have any further questions, would be happy to assist you.
Happy Learnings!