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
Exercise 3a: Converting labels to annotation—Help | ArcGIS Desktop
which means you need the tutorial data and the data is indicated in the path therein
Adding tutorial data—Help | ArcGIS Desktop
Retrieving data ...