I have not taken that course, so I don’t know how they have packaged the data. But you should be able to see from the code in the notebook where the data is coming from. If they are files that they access directly, then you can click “File → Open” from the notebook and that gives you a “File Explorer” view of all the files associated with that assignment. There is a “Download” command available from the “Explorer” view.
Or this thread shows an easy way to download a zip file containing all the files in the assignment. At least that works in DLS assignments.