Hi Smita BM,
We're glad you reached out to us through the Microsoft Q&A forum.
Where am I seeing this?
Module: Get data in Power BI
Unit 11: Exercise - Prepare data in Power BI Desktop
It seems that the CSV file is being downloaded to your local machine instead of the lab environment. We tested it on our end, and it worked as expected. Please ensure you're following the lab instructions provided on the right side when you launch the Lab.
Please launch the lab as shown in the screenshot below. Kindly refer to the screenshots provided.
If the issue still persists, please do let us know.
I hope this information is helpful, please Accept Answer & Upvote so that it would be helpful to community members.