Loading shapefile into PostGIS: ${TRAINING_ROOT} Directory

It's a shell variable - but in this context it just means replace $TRAINING_ROOT with where ever you unpacked the data.

That is a GeoSolutions training package, which needs to be used along with training packages (data + software) that you can download from links at the bottom of this page (with a choice of Windows ZIP file or ISO/VM running Linux):

https://www.geosolutionsgroup.com/technologies/geoserver/

Once that is done, what Ian said, you'll have to replace the variable to the location where you unpacked the training. If you pick the Windows training, run setenv.bat to setup all variables, on the Linux one, I think they are already set, if not, there should be a setenv.sh.

Those training are done best with an instructor leading you, but they can also be done without with a bit of effort. Good luck!