You have to click on one of the Module links in the sidebar for the KID course. So for the Classical Variation you click directly on the Module 2: Classical Variation link (currently takes you to https://chessvibes.net/courses/the-kings-indian-defense/lessons/module-2-classical-variation-5-nf3-6-be2/). Just clicking on the arrow next to the text, which expands the submenu, wont do it. The links for the pgn files do not appear in the Module submenus as you have probably already seen.