I started the course and it said I should follow along. I am not sure how to download/access Matillion on my machine so that I can follow along.
Not sure what database and Cloud platform are you thinking to use. If you are interested to connect to Snowflake, One of the best ways to access Matillion for Practice purposes is via Matillion Snowflake Partner Connect. You can create a trial Snowflake account and try Partner Connect to Matillion.
For further details, please refer to the below blog post.
How to Launch Snowflake Partner Connect and Matillion ETL