There have been frequent problems with the lesson files for the Classroom in a Book Premiere Elements (many versions).
Putting that history aside for the moment,
a. Does Windows File Fxplorer indicate that the download is complete? (Did you have your antivirus and firewalls turned off during the download?) According to Windows File Explorer is everything there as per the publisher's instructions and directives?
b. How are you opening the book's Adobe Premiere Elements Project (assumed a project.prel file)? What happens if you right click it at its hard drive save location where you should be able to see it, select Open With, and then Premiere Elements 12?
Does it open in Premiere Elements 12? If not, what happens...error message or other?
If the project opens with "Where is the file.....?", does the book instructions tell you what media files are used in that particular project? The top of the "Where is the file....?" message should show the name of the missing file, the one that the project is looking for. What is the name of the file or files being sought by the program?
When you open a new project and "import" your source media into the project, they are just copies of the source media that exist in the project, and those copies need to trace back to the originals at the hard drive save location. If you save close a project, move or delete source files from the hard drive save location after that save/close, then, when you reopen the project you will be greeted with those colorful media offline displays and the "Where is the file.....?" messages. You use the latter to reconnect media to project if the media still exist and you know where they are.
In the case of this book's setup, I am not sure
a. If it was meant for you to get those media offline on purpose as part of a media reconnect exercise
b. something else
As for the other book files that are being recognized by Windows File Explorer and not by Premiere Elements 12, what are the properties of these files...jpg stills, videos...what are you seeing as the file extension for these files?
We are not Adobe. And, I do not have Classroom in a Book Premiere Elements 12 or other version of it. But, let us see what we can put together.