I have downloaded Arcmap and when I open it to start ArcGIS exercise 3A, none of the exercises are there. Do I have to download the exercises separately or how do I access them?
Yes you would have to download them yourself since no exercises come with the installation.
If this is part of a course or MOOC, then the procedure or the url for them should have been provided in the instructions. Were there none?
unless you mean these
which means you need the tutorial data and the data is indicated in the path therein