If your lab uses PEM and PPK files, the bottom of the Connection Details panel (located on the lab manual page) contains links to download these files. (The links become active after you click Start Lab.)
Download the files
Your lab instructions will tell you if you need to download the files. The download location is typically your Downloads folder, or the most recent folder to which you downloaded a file. If you cannot locate the files, check your browser's download history.
Follow your lab instructions
Your lab instructions tell you when and where to upload your PPK or PEM file.