You will download two zip files (folders). One is specific for this course, see the list further down on this page. The other contain the sql files that are used in more than one course. I.e., some demo-files are in this folder instead of the course specific folder.: TiborCommonSqlScripts.zip.
You will find SSMS project and solution files, and if you want to use the solution folder you need to unpack the common files to this folder: C:\Kursfiler\Kurser\TiborCommonSqlScripts. Also, when you open a file, SSMS will try to connect to my SQL Server name, so a tip is to delete the connection in each project.
The demo-databases that I use are in most cases any of the Adventureworks databases. I use the 2014 version so I don't have to deal with memory-optimized tables. You find the demo-databases here. I sometimes use a table names FactResellerSalesXL in the DW database, which is a copy of the corresponding page-compressed table and you can create this using SELECT INTO and then create a clustered row index on the (SalesOrderNumber, SalesOrderLineNumber) column kombination.