Hi Michell Indriago ,
I don't have access to the course data nor the book you are using and I think many of won't have that access. In case there is an error message it would help to include it literally. Can you also specify what version of ArcGIS you are using? What format is the source data in (shapefiles, featureclasses in a personal-, file- or enterprise geodatabase, other format)? What have you tried to transfer the data (this can normally be done with the Catalog window using the copy and paste method, or importing the featureclass). Are you copying to a feature dataset in the geodatabase? What coordinate system doe you have defined, etc...
There are many options to fulfill this task, and there can be many reason why it is not working for you. Please provide some more details so we can help you.