It might help if you add the links you have followed.
QGIS - exercise data deals with the same initial problem, and gives a dropbox link.
In the meantime, The QGIS documentation has been updated, and the page for QGIS 2.18 https://docs.qgis.org/2.18/en/docs/training_manual/complete_analysis/analysis_exercise.html now has a (different) dropbox link.
Unfortuantely, the zip file lacks the file
admin_boundaries/Western_Cape_utm33s.dbf. Hence the attribute table is empty. There are other versions of the shapefile in the same zip, but with only one element inside (like in the old dropbox file).
You might work on with the old dropbox file, or report the issue at the data provider. It has already been reported in https://github.com/qgis/QGIS-Documentation/issues/246?_pjax=%23js-repo-pjax-container#issuecomment-71265056 and https://github.com/qgis/QGIS-Website/issues/216, but not yet solved.
Keep in mind that GIS.SE is not a bug tracker for QGIS.