When downloading CLC Main Workbench you are asked if you would like to import the example data set. If you accept, the data is downloaded automatically and saved in the program. If you didn't download the data, or for some other reason need to download the data again, you have two options:
You can click Import Example Data () in the Help menu of the program. This imports the data automatically. You can also go to http://www.clcbio.com/download and download the example data from there.
If you download the file from the website, you need to import it into the program. See Import of files for more about importing data.