You can read through those lessons and later you will have a lab where an environment will be provided to you for practice and you will have to follow the instructions.
You should be able to see the files being used during the Labs over here -
https://github.com/MicrosoftLearning/DA-100-Analyzing-Data-with-Power-BI
Please don't forget to Accept Answer and Up-vote if the response helped -- Vaibhav