Welcome to the community of PI Geeks!
The video you are referring to originates from vCampus Training Center. To immediately allow doing the exercises, we have included access to the Virtual Learning Environment (VLE). Access to the VLE is as well possible through the Training Center. Please read instructions carefully.
Each time you are launching the VLE, a copy of a virtual machine (Skytap) template is taken. Please note that changes you apply to the VLE do not persist among sessions. The VLE has access to the Internet, so you can upload files to an ftp server or send it to yourself using an internet email account. These days, you can also upload files to the "cloud". There are free cloud drives offered by different providers.
The file you are looking for can be found within the VLE and should be stored at the path mentioned in the video.
Welcome again! There is an interesting hands-on lab from vCampus Live! 2012, which you might be in. It is called "Develop Custom Delivery Channels for Use with PI Notifications". You can download the vCampus Live! 2012 package from vCampus Download Center under Extras category. The best part is that the source code package with the Visual Studio solution is available as well.
Hope it helps!