The specific lesson says “We do not have to download the MNIST files. We’ll find them among the book’s source code in the data directory. Take a peek, and we’ll see that MNIST is made up of four files.”
What book? What data directory?
Course: https://www.educative.io/courses/fundamentals-of-machine-learning-for-software-engineers
Lesson: Data Comes First - Fundamentals of Machine Learning for Software Engineers