Here’s a thread from the DLS FAQ that describes that process in detail.
The other thing to point out is that it’s easy to discover that each notebook has a whole tree of associated files that are required to run it: just click “File → Open” from any of the notebooks when you are running it on the Coursera site. You can also download individual files from that “File Explorer” view, but the “Files” menu that Tom points out is clearly the way to go if you want to get all the files in order to execute the notebook in a different environment.
The next level of subtlety is to point out that some of the courses here were published a year ago or more and it’s not guaranteed that things will “just work” with the current versions of all the various packages from the python universe that they depend on. Nothing holds still for very long in this space. 