If the previous import step completed successfully, you should see the HighValueRetainDF Data Flow.
Anyway, I would like to let you know that the course you are taking is an old one. There is a new Introduction to Pega Marketing course. Another good news is that, in this course, you can complete the exercise on a cloud based exercise system; so no need to download and set-up a virtual machine!
Please go ahead and take this new course and don't forget to leave a feedback at the end of the course!