Hello
welcome to this moderated Azure community forum.
This is a good question.
I checked both the video and the two leading modules because you reference the third module in the learning path.
There is a reference to a Nasa site with pictures from lunar rocks.
Unfortunately, this module states "We already downloaded and stored the photos into the Data folder" but I was not able to find that step in either a previous module or the video.
Fortunately, fellow community member @Ivy Peng reacted, the data is found at https://github.com/Jeffresh/classify-space-rocks-by-using-python-and-artificial-intelligence-/tree/master/Data
Just clone the location and it looks like you are good to go.
Off topic: each module also provides multiple ways to give feedback:
Please react there too. Microsoft is reading these feedback comments so make use of it.
If the response helped, do "Accept Answer". If it doesn't work, please let us know the progress. All community members with similar issues will benefit by doing so. Your contribution is highly appreciated.