Looks like they are using Dimensions and Facts table from AdventureWorksDW2020 Database
You can download this DB from here - https://learn.microsoft.com/en-us/sql/samples/adventureworks-install-configure?view=sql-server-ver15&tabs=ssms
One better option for learning - follow the learning paths give here in the bottom - https://learn.microsoft.com/en-us/learn/certifications/exams/da-100
Specifically for data modelling this one where you can access lab and do exercise as well - https://learn.microsoft.com/en-us/learn/paths/model-power-bi/
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Please don't forget to Accept Answer and Up-vote if the response helped -- Vaibhav