All the course sample files and the digital copy of 'M is for Data Monkey' are downloadable, but the video files are not. The videos can be watched online as many times as you like for one year from the date of registration.
The sample files that go along with each module are included in that module's section, and can be found via the left-hand navigation menu when you are logged into the course site. Multiple file formats of 'M is for Data Monkey' and all the example files, as well as the Power Query Recipe cards, are located in the "Module 0 - Introduction" section.
Please note that you must be enrolled in the full Power Query Academy course in order to download the sample files and book. They are not available with the free trial.