My first day out on Premiere Elements 12 and following the instructions in my Book religiously.
At the very start, the lessons file for the very first lesson do not load - though I have followed it repeatedly.
This is my introduction to Premiere Elements!
OK I have solved it.
Mover the lesson files from Documents to desktop and they loaded.
While I do not recall the exact details now, Peachpit Press, the publisher of CiaB series, has admitted that there is/was a file, or two, that were corrupt. Their workaround was to load another version (appear in later exercises, and were not corrupt in the "later" version). I do not recall the exact file(s) involved, but seem to remember that at least one was a "Greenscreen" file.
Glad that you have found a workaround for the CiaB exercises.