Is it possible to download the data again? Maybe some file got corrupted in the process and doesn't allow the content to be recognized. Can you also use the windows explorer to share a screenshot of the files inside the .gdb folder? It is recognized as a FileGeodatabase (so there are some files inside the folder that define that behaviour).
I have seen this type of error message, but years ago when having problems opening Access or Excel files, when a driver was missing, but I don't think that will be the case. It can also happen if the content of the gdb has some elements that require some tool (customization) to be installed. Don't think this will be the case since it is part of a normal standard tutorial. Strange...