@bruce lee I found the same problem - are you using WinRAR or similar to extract the files?
Gzip files normally extract to the same name as the file, only losing the .gz extension, but the original filename is stored in the compressed version; the standard *ix commandline gunzip tool has a -N option to extract using the original filename, but WinRAR does this by default. The .gz files in RefineDemoData.zip have been renamed, and the demo steps require these names, not the original ones.
I can't see an option to disable this WinRAR behaviour, so I suspect you'll have to rename the files after extraction.
@Kuldeep Kulkarni as this is a pretty likely use case, perhaps you could update the zip to contain files which were named appropriately before compression?