One neat feature of Stata is that you can load and work with online datasets. For example on the Stata website there are numerous links to various resources, including datasets. Following one of these, for example Experimental Design Procedures For The Behavioral Sciences there are the complete datasets accompanying the book for download. To load on of these into Stata, simply enter:
use https://stats.oarc.ucla.edu/stat/stata/examples/kirk/co3.dta, clear
Now a the file co3.dta should be loaded into memory, and could easily be stored locally if desired as well by using File > Save as.