When you get to the Downloads part as referenced by Jeff Ward, click on Backup Media, then select the Download Media radio button, then click next.
Click the green download button for "ArcGIS 10.1 Tutorial Data for Desktop".
The esri download manager will appear. Click on "Click to download your file now."
The file will be a .iso file. You should use the checksum provided at the bottom of the backup media page to check that the .iso downloaded correctly (I use winmd5free to run my checksums, but there are plenty of other ways to do it).
Finally, use an .iso viewer to copy the .iso to your hard drive, then double click the windows installer file to run the tutorial setup.
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