You can download all of the (text) data files and codebooks as a zip file. Stata syntax is given below to create data sets from the raw text files. However, it is only needed for the last two datasets, School23 and Mice, which are used in for Chapter 18, the new chapter in the fifth edition.
import delimited id day group weight using mice.txt, clear import delimited school student sex race homew schtype ses pared math classstr schsize /// urban geo minority ratio using school23.txt, clear
Please see https://stats.idre.ucla.edu/stata/modules/labeling-data/ for information on how to create variable labels and value labels.