Once you download the zip file from the "Code files" section of the tutorial. You have to unzip its contents.
Windows 10 users can unzip it by simply right-clicking on the file and selecting the option "Extract All..." or one may make use of software like "WinRAR." R also contains a built-in function with the name "unzip()" to extract the content of a .zip file.
Once unzipped, then it is important to either copy the extracted contents to the working directory of R or make the folder containing the unzipped files as the current working directory using the "setwd()" function of R.
After setting the working directly, "CaptaincyData.csv" file can be easily loaded in R using the "read.csv()" function as follows - read.csv("CaptaincyData.csv").