Please download the directory as zip-file and unzip the content to your:
C:\Users\<Yourusername>\Saved Games\DCS\Missions
This will create a folder structure of the OFS in your Saved Games DCS directory, in which the respective missions of the courses will be stored as you progress.
A tutorial for loading the mission or the server can be found in the course General Basics (DCS) in the corresponding chapter.