You can download the lesson files from http://www.autodesk.com/maya-advancedtechniques. Copy the Advanced Techniques 2013 Lesson Files zip file to your local drive and unzip the folder.
Here, you will find all the template files that you need for the lessons, and you will save your work as you learn.
Before you can save your work, you need to set a project in Maya.
A project is a file directory that stores and organizes all of the files (scenes, images, materials, textures, etc.) related to a particular scene. In Maya, you create and work with a variety of file types and formats. The project directory allows you to keep these different file types in their unique subdirectory locations within the project directory.
You can create a new project directory by choosing File > Project Window, and clicking the New button. Alternatively, you can choose an existing folder to act as the project directory if you have prepared a folder in advance. You can do this by choosing File > Set Project.
For these lessons, your project directory will be your ...\AdvancedTechniques2013LessonData\<subject area>.