Building a Network dataset

[ShareUser]

I am attempting to prepare a network dataset for a network analysis. I can complete all the activities and steps within this course, but I am having trouble applying the lessons in the course to my particular study. 

I am attempting to use TXDOT roadways data to build the network. I downloaded the "file geodatabase" option as I did in the course for the test data, but when I load it into ArcGIS, it includes a "file geodatabase" and a "feature class" only. The test data included a "feature dataset" as well. I need the feature dataset to convert to a "Network Dataset. (screenshot below)

Am I downloading the wrong file type from TxDOT? Is there a way to convert what I have downloaded to into a feature dataset?